Quantum walks in atomic systems, owing to their continuous nature, are especially well-suited for the simulation of many-body physics and can potentially offer an exponential speedup in solving certain black box problems. Photonics offers an alternate route to simulating such nonclassical behavior in a more robust platform. However, in photonic implementations to date, an increase to the depth of a continuous quantum walk requires modifying the footprint of the system. Here we report continuous walks of a two-photon quantum frequency comb with entanglement across multiple dimensions. The coupling between frequency modes is mediated by electro-optic phase modulation, which makes the evolution of the state completely tunable over a continuous range. With arbitrary control of the phase across different modes, we demonstrate a rich variety of behavior: from walks exhibiting ballistic transport or strong energy confinement, to subspaces featuring bosonic or fermionic character. We also explore the role of entanglement dimensionality and demonstrate biphoton energy bound states, which are only possible with multilevel entanglement. This suggests the potential for such walks to quantify entanglement in high-dimensional systems.