An investigation by BuzzFeed in January 2020 found that Wallis had been a co-owner of a 'sugar daddy' dating website, "which offered students financial relationships with wealthy 'sponsors'". Although Wallis initially denied links to the company, Buzzfeed found that he had been a director and shareholder of the site's parent company. The Labour MP Jess Phillips called for Wallis to have the Conservative party whip removed.

Since the 2019 election, Wallis has quit as director of at least seven companies.

On 28 November 2021, Wallis was arrested on suspicion of driving while unfit after a car collided with a lamppost in Llanblethian, Vale of Glamorgan. On 30 March 2022, he said that he had "fled the scene" of the car collision due to having a form of post-traumatic stress disorder after being raped in September 2021. In April 2022, Wallis was charged with failing to stop following a road traffic collision, failure to report a road traffic collision, careless driving and leaving a vehicle in a dangerous position. In May he pleaded not guilty to the offences. On 11 July 2022 Wallis was found guilty of failing to stop and report an accident, leaving his car in a dangerous position, but cleared of driving without due care and attention. The court heard that Wallis was wearing a black leather PVC miniskirt, tights, dark shoes and a pearl necklace when he fled the scene of the crash, and that police forced entry into the Wallis family home address which was described as a mansion and absolutely colossal, out of concern for the MP". Wallis said he was frightened of a group of people who came to help him. He was picked up by his father and fell asleep at home without reporting the crash to police.

Wallis was fined £2,500 and disqualified from driving for six months. District Judge Tan Ikram said he "didn't find the defendant credible".

Following the conviction, the Conservative Party said it "will not be taking any further action".

In February 2022, Wallis was fined £270 and received three points on his driving licence after pleading guilty to an offence in August 2021 of "failure to comply with solid white line road markings" on the A48.

On 30 March 2022, Wallis came out as transgender, becoming the first openly transgender MP in the House of Commons. Wallis has stated that he will continue to use he/him pronouns "for the time being". He said an individual had outed him to his father and attempted to blackmail Wallis in April 2020; Wallis said the individual was prosecuted, pleaded guilty and was sentenced to 2 years and 9 months imprisonment.

On the day of the second ballot of MPs in the July 2022 Conservative Party leadership election, Wallis said that he was backing the campaign of Penny Mordaunt. Wallis later called for party leader and prime minister Liz Truss to resign, citing her failure to challenge anti-transgender rhetoric in the election.