Born in Miami, Florida, Walden moved to The Bronx at the age of 12. His interest in the alto saxophone developed when he witnessed the close attention his uncle paid to the Charlie Parker record One Night In Washington. Walden was able to procure an alto sax from his middle school music appreciation teacher, and a saxophone player who lived in his building gave him an instruction book. Walden was self-taught until he enrolled in the LaGuardia High School of Music & Art, where he met frequent collaborators Dwayne Burno and Eric McPherson. Walden went on to attend the Manhattan School of Music, and in 1993 won first place in a Charlie Parker competition, which earned him a guest spot with Wynton Marsalis and the Jazz at Lincoln Center Orchestra.
Walden began his professional career playing with Roy Hargrove's big band at the Jazz Gallery in 1995, then performed at Smalls with artists such as Kurt Rosenwinkel, Eddie Henderson, Kevin Hays, Stephen Scott, Greg Hutchinson and Eric Harland before earning a regular gig on Wednesday nights with his Apex Trio, featuring McPherson (drums) and Burno (bass). Walden primarily played his own original compositions with the Apex Trio, and recorded four solo albums between 1996 and 2005. During this period, he became a member of Brian Blade's Fellowship Band and The New Jazz Composers Octet, which made three recordings as a unit and two with Freddie Hubbard (with whom they performed several times at the Iridium). Walden took a nearly five-year break from recording as a leader in order to develop his skills on the tenor and soprano saxophones while composing specifically for those instruments. In 2009, he hired Shore Fire Media to promote his new projects, playing five Wednesday nights with five different bands in September at the Jazz Gallery (with all proceeds going to the non-profit venue), and releasing seven albums on his new record label, Demi Sound, over the course of 2009 and 2010.