Consumption of nuts has been associated with a range of favorable health outcomes. Evidence is now emerging to suggest that walnuts may also play an important role in supporting the consumption of a healthy dietary pattern. However, limited studies have explored how walnuts are eaten at different meal occasions. The aim of this study was to explore the food choices in relation to walnuts at meal occasions as reported by a sample of overweight and obese adult participants of weight loss clinical trials. Baseline usual food intake data were retrospectively pooled from four food-based clinical trials (n = 758). A nut-specific food composition database was applied to determine walnut consumption within the food intake data. The a priori algorithm of association rules was used to identify food choices associated with walnuts at different meal occasions using a nested hierarchical food group classification system. The proportion of participants who were consuming walnuts was 14.5% (n = 110). The median walnut intake was 5.14 (interquartile range, 1.10–11.45) g/d. A total of 128 food items containing walnuts were identified for walnut consumers. The proportion of participants who reported consuming unsalted raw walnut was 80.5% (n = 103). There were no identified patterns to food choices in relation to walnut at the breakfast, lunch, or dinner meal occasions. A total of 24 clusters of food choices related to walnuts were identified at others (meals). By applying a novel food composition database, the present study was able to map the precise combinations of foods associated with walnuts intakes at mealtimes using data mining. This study offers insights into the role of walnuts for the food choices of overweight adults and may support guidance and dietary behavior change strategies.