According to Thoreau’s transcendentalist philosophy, nature, humanity, and God are unified. His transcendent God is also immanent—present in every raindrop, blade of grass, and animal as well as in every human being. Further, one of the best ways for human beings to experience their own unity with God is to observe nature.
Thoreau’s own love of nature is illustrated in the intricate detail with which he describes the seasons, flora and fauna, natural processes,
To the answer above, I would add that Thoreau--as any Transcendentalist--also believed heavily in the idea of self-reliance. In fact, the entire experiment at Walden pond was Thoreau's attempt to put into practice the ideas expressed by Ralph Waldo Emerson. Emerson was the thinker/philosophy; Thoreau was the "do-er."
Much of Walden is the lessons Thoreau learned from living in the woods for 18 months. In living a self-reliant life close to nature, Thoreau believed he was closer to God and therefore was a better person.