Quantum particles show a distinct behaviour compared to classical particles. The fundamental principles of superposition and entanglement lead to interference effects, which often seem to contradict common sense trained by classical physics. Within the emerging field of quantum information and computation techniques for harnessing these quantum interference effects for information processing tasks have been developed. A complex interference phenomenon, which is at the heart of theoretical and experimental quantum information, is quantum walks. It describes the movement of quantum mechanical particles within a discretised space and finds applications in designing quantum algorithms and for implementing quantum simulations. This thesis explores multi-photon interference of identical and entangled particles in physically implemented quantum walk structures. In particular, we realise continuous-time quantum walks, using single photons propagating in integrated waveguide arrays. Here, the evolution is given by the continuous evanescent coupling of the photons between neighbouring waveguides. We demonstrate two-photon quantum walks on a one-dimensional line, where we can observe the time evolution by measuring the output distribution of waveguide arrays with varied lengths. Within this work, we investigate boundary conditions and coherence of the evolution. Additional to this, we employ waveguides, laser-written in glass substrate, implementing a quantum walk on a two-dimensional graph structure. We show quantum interference effects between two photons, which are unique to this two-dimensional structure. In a third experiment, we measure the quantum walk of up to five photons. We compare the output statistics of this structured unitary with the output of a random circuit and we construct a metric for verifying quantum interference. Furthermore, we show, that quantum correlations of entangled particles prevail in a noisy environment and .allow the construction of an entanglement witness. Finally, we utilise entanglement for quantum statistics simulations. Here, we can simulate quantum statistics effects, such as Pauli-exclusion.