Geographically-distributed urban environment contexts affect human psychological wellbeing through the real-time interactions between individuals and their surroundings. Recent field experiments have become particularly interesting in using wearable devices for tracking episodic changes in wellbeing outcomes. However, most research primarily contribute to correlate unconscious physiological arousal with single environmental feature, ignoring the contextualized environment neural psychological effects at the brain level. This paper studies the effects of walking exposures to various urban environment contexts on neural physiological and psychological parameters relevant to mental health in women cohorts. We measure neural physiological parameters using a functional near-infrared spectroscopy (fNIRS) monitoring approach to detect brain activity variability during a journey-based field experiment, and perceived psychological wellbeing outcomes are measured through emotional questionnaires. A group of 10 healthy women walked across dense and diverse urban settings in Guangzhou, China. We have identified the beneficial effects of blue-green spaces and open spaces on psychological wellbeing, as well as their underlying neurophysiological mechanisms that exhibit localized context differentiation. Additional results quantify evidence in support of spatial typology and travel sequence-based uncertainties as underlying channels at work. Our study provide a walking-oriented investigation model of locally contextualized mental health effects, and expand explanatory method for walking mental health. It also suggests the importance of conceptualizing landscape complementarities in planning policies that help to improve the interaction between wellbeing and localized environmental exposures.