Background Walk-and-talk psychotherapy and counseling have been proposed as meaningful alternatives or complements to conventional indoor practice, but quantitative evidence directly comparing short-term client responses across settings remains limited. This practice-based study examined whether immediate psychological and physiological responses varied across a fixed sequence of three psychotherapy/counseling sessions: indoor, urban walk-and-talk, and nature walk-and-talk. Methods A within-subject repeated-measures design was used. Participants completed three measured psychotherapy/counseling sessions in a fixed order (indoor, urban, nature), with pre-and post-session assessments in each setting. The final analytical sample comprised 213 participants aged 14–74 years; analyses involving physical activity were based on 185 valid International Physical Activity Questionnaire cases. Repeated-measures analyses of variance tested preregistered differences in psychological and physiological change scores, and Pearson correlations examined associations with personality traits, environmental identity, and physical activity. Because setting was confounded with session order, findings are interpreted as setting-associated response patterns across a fixed sequence rather than as isolated causal effects of environmental context. Results Short-term response patterns were differentiated rather than uniform. For psychological outcomes, Bonferroni-corrected effects were found for POMS Vigor, F (1.53, 324.68) = 53.50, p < 0.001, η 2 = 0.146; POMS Dejection, F (1.89, 399.63) = 10.11, p < 0.001, η 2 = 0.031; and PANAS Negative Affect, F (1.17, 246.99) = 8.55, p = 0.002, η 2 = 0.020. The nature setting showed the largest increase in Vigor and the largest decrease in Dejection, whereas Negative Affect decreased least in the urban setting compared with indoor and nature settings. For physiological outcomes, Bonferroni-corrected effects were found for systolic blood pressure, F (1.35, 285.37) = 15.77, p < 0.001, η 2 = 0.047; diastolic blood pressure, F (1.97, 417.53) = 10.74, p < 0.001, η 2 = 0.031; and heart rate, F (1.91, 404.64) = 6.98, p = 0.001, η 2 = 0.019. Blood pressure increased indoors but decreased slightly in both walk-and-talk psychotherapy/counseling settings. Preregistered individual-difference analyses yielded no robust Bonferroni-corrected associations. Conclusion Immediate psychological and physiological responses varied across a fixed sequence of indoor, urban walk-and-talk, and nature walk-and-talk psychotherapy/counseling sessions. The findings do not support a simple conclusion that any one setting was globally superior. Rather, they suggest selective setting-associated response patterns, with nature walk-and-talk showing more favorable changes in selected short-term psychological outcomes and physiological responses following a different pattern. Because setting was confounded with session order, these findings should be interpreted cautiously.