To understand the moisture transfer mechanism of walnuts during the combination of hot air (HA) and microwave–vacuum (MV) drying (HA-MVD) process, the drying characteristics and moisture diffusion characteristics of walnut during HA-MVD were investigated. The results indicated that the HA-MVD of walnuts occurred mainly in the falling-rate stage. The value of effective moisture diffusivity (Deff) dropped continuously with the decrease in moisture content (MC) during the HA drying, while switching to MV drying could truncate the decrease in Deff and still maintain a high value until the end of drying. The HA temperature, MC of the transition point, microwave power, and MV thermostatic temperature have significant effects on the moisture diffusion characteristics of walnuts. The values of Deff for walnuts ranged from 2.33 × 10−9 m2/s to 6.89 × 10−8 m2/s. The third-order polynomial prediction model of Deff related to the sample MC and drying conditions was established to describe the dynamic change in the Deff of walnuts during the HA-MVD process. The application of MVD in the final stage of drying could rapidly increase the internal vapor pressure of the walnuts, accelerate the diffusion speed of the internal moisture, and re-enhance the drying rate. The findings have practical value for the development of efficient and energy-saving drying methods in the walnut industry.