We analyze the process of photon-pair generation with simultaneous quantum walks in a quadratic nonlinear waveguide array. We demonstrate that the spontaneous parametric down-conversion in the array allows for creating quantum states with strongly pronounced spatial correlations, which are qualitatively different from those possible in bulk crystals or through quantum walks in linear waveguide arrays. Most importantly, the photon correlations can be controlled entirely classically by varying the spatial profile of the pump beam or the phase-matching conditions.