Walking, as a major mode of travel or activity among older adults, deserves more attention in research on travel behavior related to the neighborhood built environment. However, most previous research has examined global relationships or assumed that all spatial scales are identical rather than focusing on the intensity of spatial scale differences between explanatory variables and travel behavior. Therefore, this paper employs a multi-scale, geographically weighted regression model to analyze the effect of the neighborhood built environment on the walking activities of 863 older adults in Taiyuan, China, using survey data. The results indicate that the influence intensity of the explanatory variables is determined, in descending order, by the number of retail establishments, the number of pedestrian crossings, the number of restaurants, the residential density, the land use combination, the number of recreation facilities, and the location and the number of bus stops. Moreover, the spatial scales of the number of recreation and public service facilities are greater than those of the other explanatory variables. This research can contribute to a better understanding of the relationships between the built environment of a neighborhood and walking activities and provide case support for the sustainable development of age-friendly transportation services.