Quantum walks of correlated particles offer the possibility to study large-scale quantum interference, simulate biological, chemical and physical systems, and a route to universal quantum computation. Here we demonstrate quantum walks of two identical photons in an array of 21 continuously evanescently-coupled waveguides in a SiOxNy chip. We observe quantum correlations, violating a classical limit by 76 standard deviations, and find that they depend critically on the input state of the quantum walk. These results open the way to a powerful approach to quantum walks using correlated particles to encode information in an exponentially larger state space.