I've been exercising a lot & last two days my tail bone has gotten very sore. Can that be from walking a lot? One shin is sore I know because of it.

Two separate areas. the tailbone could be from the strain you're putting on your low back and sacrum working out or lifting weights. The shin splints are from walking a lot without proper fitted shoes or not wearing arch supports. Take a break from exercising now and do self care before more trauma ensues. Get some good insoles, and stretch more for at least 20 mins. Before beginning any exercise program.Hydrate too!