Quantum processes of inherent dynamical nature, such as quantum walks, defy a description in terms of an equilibrium statistical physics ensemble. Until now, identifying the general principles behind the underlying unitary quantum dynamics has remained a key challenge. Here, we show and experimentally observe that split-step quantum walks admit a characterization in terms of a dynamical topological order parameter (DTOP). This integer-quantized DTOP measures, at a given time, the winding of the geometric phase accumulated by the wavefunction during a quantum walk. We observe distinct dynamical regimes in our experimentally realized quantum walks, and each regime can be attributed to a qualitatively different temporal behavior of the DTOP. Upon identifying an equivalent many-body problem, we reveal an intriguing connection between the nonanalytic changes of the DTOP in quantum walks and the occurrence of dynamical quantum phase transitions.