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:
workspace = "c:/data"
feature_classes = 
for dirpath, dirnames, filenames in arcpy.da.Walk(workspace,
for filename in filenames: