Prior to joining Norwich, Walford's career had been spent in his native London. He joined Tottenham as an apprentice in 1974, turning professional a year later. Two appearances for the Hotspurs and England Youth caps somehow inspired Arsenal manager Terry Neill to sign him for £25,000 in August 1977. In the next four years, Walford would make 77 league appearances for the Gunners, scoring three times and would play in Europe and at Wembley.

Walford joined Norwich in March 1981 alongside Chris Woods and Martin O'Neill as manager Ken Brown invested money in an attempt to avoid relegation to Division Two. The investment failed and City were relegated but Walford's presence in the defence helped Norwich secure a swift return to the top flight the following season. He accumulated 108 first team appearances for the Canaries before leaving in August 1983 to join West Ham United for £160,000. This figure represented a loss of £15,000 on Walford who had cost £175,000 two and a half years earlier.

He made 115 league appearances for the Hammers before joining Huddersfield Town on a two month loan in October 1987. 12 appearances were made for the Yorkshire side. Another loan spell at Gillingham (4 matches) preceded a 2 month visit to West Bromwich Albion (four games). In August 1989, he joined Lai Sun of Hong Kong and played in Turkey on his way back to England.

He joined Wycombe Wanderers in October 1990 as a favour to manager Martin O'Neill. After a spell with non-league Wealdstone, he rejoined Wycombe as Assistant Manager. He moved with Martin O'Neill back to Carrow Road as Assistant Manager in June 1995 and was joint caretaker manager, along with Paul Franklin for one match (a Coca Cola Cup Fourth Round replay victory on penalties at Bolton) after O'Neill's sudden departure to Leicester City. His partnership with O'Neill was too strong and he too made the move to Filbert Street. At the end of the 1996/96 season, Leicester won promotion to the Premiership via the play-offs and the following season they won the Coca Cola Cup. Steve followed O'Neill to Scottish giants Celtic in the summer of 2000.

Celtic won the Scottish Premiership for a third time under O'Neill on April 18th 2004.

Steve left Celtic when Martin O'Neill resigned in May 2005.

Walford followed O'Neill to Villa Park in August 2006 becoming Villa's first-team coach

He left Villa in the summer of 2010 following O'Neill's resignation

Following O'Neill's appointment as Sunderland's manager in December 2011, Walford teamed with him again being appointed as the Black Cat's First Team Acoah on 7th December 2011. They left in 2012.

In September 2015, he was linked with a move to join the coaching team at Neil Lennon's Bolton. This materialised on 18th September but he remained part of the Republic of Ireland coaching team under Martin O'Neill. The Sky Bet Championship club were looking for a new number two to Neil Lennon after Johan Mjallby left for family reasons.

Although Lennon was sacked by Bolton on 15th March 2016, Walford stayed on along with Gary Parker until 14th April 2016 so the club could prepare for a new management team (Bolton had been relegated from the Championship on 9th April 2016).