Mexico City is enormous, so no single walk covers more than a fraction of it, but neighbourhoods like Roma, Condesa and the historic centre are each walkable in their own right, with tree-lined streets, plazas and a genuinely pleasant pace once you're within them. Moving between distant neighbourhoods is better done by transit or ride share.
The altitude, over two thousand metres, can catch visitors off guard, making stairs and inclines feel more tiring than they would at sea level for the first few days before the body adjusts. Pacing a first day gently is a sensible approach.
Pavements vary considerably in condition from one block to the next, with some newly renovated and others uneven or under repair, so watching your footing matters more here than in a city with more uniform infrastructure.