Many agree that increasing physical activity will improve public health. This paper reports on empirical findings on the relationship between the density of the residential environment, walking and total physical activity. Using multiple objective and self-reported measures for 715 participants in the US, and improved techniques for sampling and analysis, it finds that density is associated with the purpose of walking (travel, leisure) but not the amount of overall walking or overall physical activity, although there are sub-group differences by race/ethnicity. Overall, higher densities have many benefits in terms of efficient use of infrastructure, housing affordability, energy efficiency and possibly vibrant street life. But higher densities alone, like other built environment features, do not appear to be the silver bullet in the public health campaign to increase physical activity.