Thoreau goes to Walden for solitude. That is the overall summation of what he believes and what he represents. He feels that we don't really need any holy men to teach us, and we don't need institutions to know God. If we are "true to ourselves" then we will know God.
Along with that, one of Thoreau's most famous quotes is
‘‘If a man does not keep pace with his companions, perhaps it is because he hears a different drummer. Let him step to the music which he hears, however measured or far away.’’
This shows that he does not believe in conformity. We should all be individuals and independent. He shows this theme of individuality in the very fact that he leaves society to spend time alone in nature. He needs to be, think, and live alone for awhile to understand nature as deeply as he can.