The Heavy Walker is the rarest of the three walkers, but the strongest of them all. Its only weapons are two large arms that are used for swiping and swinging at buildings, cars, and people. It first appears in the mission "Industrial Revolution". Where you need to retrieve it from the EDF to make the battle and turn the tide for the revolution.
In the demolition master mission in Eos, north of the East safehouse and south of the construction site.
After completing the Industrial Revolution mission, go to the northern Dust safehouse. Exit and go to the road. To your left should be a stone overhead arch. Drive through it and take the road to the right. Keep on driving down the road until you see the first sign with 3 yellow arrows. To the right is a cave. In it should be the Heavy Walker. If not, reload the game or do a guerrilla activity. If you have destroyed the government center in Dust, it won't spawn anymore.
It also spawns every now and then next to the executive officers housing not too far from the first location. It should be next to the bunker near the house. If you have destroyed that bunker, it won't spawn there either.