The help describes the function as such:
Generate data names in a catalog tree by walking the tree top-down or bottom-up. Each directory/workspace in the tree yields a tuple of three: dirpath, dirnames, and filenames. Python's os module includes an os.walk function that can be used to walk through a directory tree and find data. os.walk is file based and does not recognize database contents such as geodatabase feature classes, tables, or rasters. arcpy.da.Walk can be used to catalog data.Example:
import arcpy
import os
workspace = "c:/data"
feature_classes = []
for dirpath, dirnames, filenames in arcpy.da.Walk(workspace,
datatype="FeatureClass",
type="Polygon"):
for filename in filenames:
feature_classes.append(os.path.join(dirpath, filename))
Enjoy