Yes, you can
You can walk with an Pokemon. You have probably already realised that the Pokemon that is first in your party is the one that you would be walking with.
Also, if the Pokemon you are walking with is a legendary Pokemon, when you are inside a building there will be no Pokemon walking with you, even though the size of the sprite of a legendary Pokemon is no bigger than what the size of an average Pokemon's sprite would be when outside.But, again I say that when you are outside, you will always have a Pokemon walking with, regardless of what it is.
Source: Experience