Walden was born in Rozulas in the Russian Empire (now Stalbe parish, Pārgauja municipality, Latvia) in a large Latvian peasant family. At the age of four, he lost his father and later his mother. Thanks to financial support from his two older brothers who lived in Riga (one was a merchant and another served as a lieutenant in the military) Walden managed to complete his education – first graduated with honors from the district school in the town of Cēsis (1876), and then from the Riga Technical High School (1882).
In December 1882, he enrolled into the Riga Technical University and became seriously interested in chemistry. In 1886, he published his first scientific study on the color  evaluation of the reactions of nitric and nitrous acid with various reagents and establishing the limits of sensitivity of the color method to detection of nitric acid.
In April 1887, Walden became an active member of the Russian Physico-chemical Society. During this time, Walden started his collaboration with Wilhelm Ostwald (Nobel Prize in Chemistry 1909) which greatly influenced his development as a scientist. Their first work together was published in 1887 and was devoted to the dependence of the electrical conductivity of aqueous solutions of salts on their molecular weight.