The BBC Breakfast host, who has defied the odds to become one of the favourites to win this year’s series, was “consoled” by his professional partner, Nadiya Bychkova.
Walker got emotional after watching back a part of his interview with football manager Gary Speed, which took place one day before he died by suicide in 2011.
The latest episode of Strictly took place on thew 10th anniversary of Speed’s death.
A source close to the show told The Sun: “The two were very close, and it was a haunting, harrowing watch.
“Dan tried to hold it together, but the emotion of the evening became too much after their dance and he broke down in the dressing room.”
The source added: “Nadiya consoled him. She was amazing, and basically let him cry it out on her shoulder. As a result people have been gossiping backstage about Dan and Nadiya’s closeness, but it was entirely innocent.”
Walker and Bychkova have struck up a close friendship since the show began earlier this year.
The presenter is expected to make the final on 18 December having never been in the dreaded dance off.
Last week’s episode saw Tilly Ramsay get eliminated after a dance off with CBBC presenter Rhys Stephenson.
Strictly continues tonight (4 December) at 6.55pm on BBC One.