Even though Thoreau went to Walden to escape the expectations society set, he soon realized that he was just creating new paths and conforming to those instead. These paths were not just physical ones that others could follow, but also mental ones that he kept travelling down. Thoreau realized this and left Walden to experience other paths as well. We all rely on the comfort of routine and follow paths that others have already taken, and it's hard to break free of this.
