A sharp drop in physical activity and skyrocketing obesity rate has accompanied rapid urbanization in China. The urban planning concept of transit-oriented development (TOD) has been widely advocated in China to promote physical activity, especially walking. Indeed, many design features thought to promote walking—e.g., mixed land use, densification, and well-connected street network—often characterize both TODs and established urban neighborhoods. Thus, it is often assumed that TODs have similar physical activity benefits as established urban neighborhoods. To verify this assumption, this study compared walking behaviors in established urban neighborhoods and transit-oriented new towns in Hong Kong. To address the limitation of self-selection bias, we conducted a study using Hong Kong citywide public housing scheme, which assigns residents to different housing estates by flat availability and family size rather than personal preference. The results show new town residents walked less for transportation purpose than urban residents. New town residents far from the transit station (800–1200 m) walked less for recreational purpose than TOD residents close to a rail transit station (<400 m) or urban residents. The observed disparity in walking behaviors challenges the common assumption that TOD and established urban neighborhoods have similar impact on walking behavior. The results suggest the necessity for more nuanced planning strategies, taking local-level factors into account to promote walking of TOD residents who live far from transit stations.