The Lionesses sealed the 1-0 victory after just six minutes when Chelsea star Lauren James scored a screamer from outside the box.
Denmark were not shy to threaten soon after and in fact came very close to equalising.
England were able to hold on, but eventually suffered a huge setback as Walsh went down with a nasty looking injury.
She awkwardly caught her foot in the turf before falling to the floor and signalled to the bench that she couldn't continue.
The world's most expensive women's player could be seen mouthing 'I've done my knee' before being stretchered off in tears.
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Walsh's teammates consoled her as she was taken down the tunnel, with boss Sarina Wiegman also checking up on her.
Laura Coombs came on to replace the midfielder before England headed into the break with their 1-0 lead.
After shining for Manchester City, Walsh sealed a record move to Barcelona for a fee of around £400,000 last summer.
She won the Champions League in her first season at the club, as well as Liga F and Supercopa de Espana Femenina.
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Her injury could prove to be detrimental to England's hopes for the rest of the World Cup, with the 26-year-old heading back to the bench on crutches.
The Lionesses were able to secure victory in their first game of the tournament with a 1-0 win over Haiti.
Despite the absence of Walsh for the second half, England were also able to secure a narrow victory against Denmark.