© 2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group. This UK-based study explores the ways in which urban environments and pedestrians’ thoughts interact. Such interactions have implications for hedonic well-being and affect. Analysis of innovative interviews with pedestrians highlights different orientations of thought while walking in the urban environment: the pedestrian can ignore surroundings in order to reflect, solve problems, daydream or think creatively, although this process can be interrupted by features within the urban environment, particularly motor traffic. Alternatively, thoughts, positive or negative, can be provoked or inspired by urban surroundings. Thus, the paper presents evidence that interactions between urban environment and thinking are an important pathway in understanding urban walking’s influence on well-being, one that is neglected in much walking policy.