They are very close in meaning and in many situations would mean the same thing. If I had to describe them differently though, I would say that "walk through" could imply a "hands on" approach, or that they want you to show them something, rather than just talk about it.
An example to show the possible difference:
Could you talk me through how to get a job?
Could you walk me through how to get a job?
Both mean the same thing more or less. However, the second example might be a request for someone to actually show them how to do it, rather than just explain it. Maybe it means that they want someone to sit down with them at a computer, show them some websites, etc, in addition to talking about it.
It's pretty ambiguous, and in most cases they can be used interchangeably