We study a generalization of strongly regular graphs. We call a graph
strongly walk-regular if there is an $\ell >1$ such that the number of walks of
length $\ell$ from a vertex to another vertex depends only on whether the two
vertices are the same, adjacent, or not adjacent. We will show that a strongly
walk-regular graph must be an empty graph, a complete graph, a strongly regular
graph, a disjoint union of complete bipartite graphs of the same size and
isolated vertices, or a regular graph with four eigenvalues. Graphs from the
first three families in this list are indeed strongly $\ell$-walk-regular for
all $\ell$, whereas the graphs from the fourth family are $\ell$-walk-regular
for every odd $\ell$. The case of regular graphs with four eigenvalues is the
most interesting (and complicated) one. Such graphs cannot be strongly
$\ell$-walk-regular for even $\ell$. We will characterize the case that regular
four-eigenvalue graphs are strongly $\ell$-walk-regular for every odd $\ell$,
in terms of the eigenvalues. There are several examples of infinite families of
such graphs. We will show that every other regular four-eigenvalue graph can be
strongly $\ell$-walk-regular for at most one $\ell$. There are several examples
of infinite families of such graphs that are strongly 3-walk-regular. It
however remains open whether there are any graphs that are strongly
$\ell$-walk-regular for only one particular $\ell$ different from 3