We study the problem of detecting a random walk on a graph from a sequence of noisy measurements at every node. There are two hypotheses: either every observation is just meaningless zero-mean Gaussian noise, or at each time step exactly one node has an elevated mean, with its location following a random walk on the graph over time. We want to exploit knowledge of the graph structure and random walk parameters (specified by a Markov chain transition matrix) to detect a possibly very weak signal. The optimal detector is easily derived, and we focus on the harder problem of characterizing its performance through the (type-II) error exponent: the decay rate of the miss probability under a false alarm constraint. The expression for the error exponent resembles the free energy of a spin glass in statistical physics, and we borrow techniques from that field to develop a lower bound. Our fully rigorous analysis uses large deviations theory to show that the lower bound exhibits a phase transition: strong performance is only guaranteed when the signal-to-noise ratio exceeds twice the entropy rate of the random walk. Monte Carlo simulations show that the lower bound fully captures the behavior of the true exponent.