The England international played the full 90 minutes of Sunday afternoon's EFL Cup final at Wembley Stadium, as the Citizens brushed aside Arsenal 3-0 to win the competition for a third time in five years.
Walker, a £53m signing from Tottenham Hotspur last summer, hopes that City can now use their cup success to push on for more trophies, with Premier League and Champions League honours still up for grabs this term.
"It's been a long time coming for me and I'm glad to get my first trophy," he told Sky Sports News. "I was nervous coming into it, without a trophy win here before, but thankfully we've come out on top today.
"We needed to kill the game early and Sergio Aguero's goal did that for us. We didn't have the best of seasons last year, so it was important for us to get this trophy under our belts."
Treble-chasing City's 3-0 win was their biggest ever in a cup final and Arsenal's heaviest loss.