Alex Hutchinson has a good article on this in the Globe and Mail - Why is walking in the woods so good for you? which focusses on recent science looking at the some of the reasons for this, highlighting the role of your perception, the call on your attention that is made by your environment:
The ability to direct voluntary attention is crucial in daily life (and for cognitive tasks like remembering random digits), but it’s easily fatigued. Dr. Berman and his colleagues believe that going for a walk in the park gives voluntary attention a break, since your mind has a chance to wander aimlessly and be engaged – involuntarily but gently – by your surroundings.I love that. Taking a walk offers a real mental break.
“In a lot of natural areas, you’re away from loud noises and distractions,” Dr. Berman explains. “It tends to be less crowded so you don’t have to worry about bumping into people, and it also has interesting stimulation to look at, which captures your attention automatically.”