While walking today for exercise my first day my legs starting itching bad why?

Cholinergic hives? Cholinergic urticaria (hives) is a type of physical urticaria (triggered by physical activities/exercises) that is a skin rash brought on by a hypersensitive reaction to body heat. It is brought on as a reaction to sweat cause by exercise, sun/heat, saunas etc..Stress/anxiety is often in folks having this condition. If this bothering you/recurring, consult doc for eval/treatment. Good luck.
Need to see a doctor. The itchiness could be many causes, such as skin infection, dry skin, diabetes not in control, etc. You should have your doctor check it.