What is the theme of Walden by Henry David Thoreau?

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.