In this work we introduce a class of non-local differential operators defined through a beta-weighted averaging of the ordinary derivative. We investigate their analytical properties and establish connections with the Caputo and Erdélyi-Kober operators. Differential equations involving the beta-weighted derivative are studied by Mellin transform methods, leading to solutions represented in terms of Barnes G-functions and a new class of G-hypergeometric functions. We also analyze asymptotic properties, Laplace transforms, and the second-order equation involving the sequential beta-weighted derivative. Finally, we present stochastic applications of these results, showing that continuous-time random walks, with waiting times characterized by the beta-weighted derivative, converge to Brownian motions time-changed by a scaled inverse stable subordinator. We compare this anomalous-diffusion model with a time-changed Brownian motion whose one-dimensional distribution solve a heat-type equation with beta-weighted derivative.