W. Barksdale Maynard, Walden Pond: A History (New York: Oxford University Press, 2004), p. 17:

Environmental historian Brian Donahue is among several recent scholars who hold that "the name is derived from the once-wooded upland Weald in Kent (home of many Concord settlers), or more generally from the fact that Walden means 'in the woods.'"

The footnote (on p. 338) cites a personal communication from Donahue.

But cf. W.W. Skeat, The Place-Names of Hertfordshire (Hertford: East Herts Archaeological Society, 1904), pp. 22-23:

WALDEN.—Spelt Waldene, D.B. 8; Waledene, R.B. and H.E. The spelling with -le- is to be noted, as it shows that the name begins neither with A.S. weald, ' a wood,' nor with weall, ' a wall.' In fact, it precisely agrees with A.S. Wealadene (O. Merc. Waladene), dat. case of Weala denu, which occurs thrice, with reference to Walden in Herts.; Kemble, Cod. Dipl., vi, 212; Thorpe, Diplomat., pp. 649, 650. Weala is the gen. pl. of Wealh, 'a stranger, foreigner,' esp. a Briton or Welshman. The sense is 'valley of strangers,' or, probably, 'valley of Britons.' We find here a trace of the Celts.