"Got it at" or "Got it in?"

Walmart and Chicago are both places, but we use different prepositions to refer to them. From this article on them:

Prepositions of Place: at, on, and in

We use at for specific addresses. Grammar English lives at 55 Boretz Road in Durham.

We use on to designate names of streets, avenues, etc. Her house is on Boretz Road.

And we use in for the names of land-areas (towns, counties, states, countries, and continents).

She lives in Durham.

Durham is in Windham County.

Windham County is in Connecticut.

Because Walmart is a specific place or address, we say that someone shops at Walmart. However, since Chicago is a land-area, we say that someone shops in Chicago.