Whether humans are in an idle state, walking, or engaged in another type of movement, metabolic activity is the key influential factor in comfort. However, there are a limited number of studies on the thermal comfort experienced by people while they walk, even though this state of motion is most common for daily commuting in modern societies. The predicted mean vote (PMV) model, the prevalent thermal comfort index, is restricted in terms of the accurate prediction of dynamic change in the thermal environment, such as that associated with walking. To study the thermal comfort of the walking process, a series of experiments were carried out in the badminton gym of Guangzhou University, in which 30 subjects were asked to walk at different speeds for 20 min and sit for 10 min. The thermal parameters were recorded during the experiments and the thermal perceptions of the subjects were collected. The results revealed a certain relationship between thermal sensation votes and physiological indexes. Typically, it takes the human body 3–5 min to reach a new metabolic level after walking, whereas it needs 4–5 min to return to a normal sedentary state from exercise. Moreover, surrounding airflow disturbances caused by walking enhances the heat transfer between the human body and surrounding thermal environment, leading to variations in thermal and air movement sensations. The neutral walking speeds which are affected by the outdoor thermal comfort experienced by the subjects while they were walking, were also determined.