When I go to walk right foot first I have severe pain in my thigh shooting down to my knee. Which is causing me to limp. Any idea on what could be wrong?

Male or female? What part of the thigh? Not that that information will do a whole lot of good, because there are many reasons for that sort of pain.

Female/33 upper front of thigh.. I experience the most pain when I carry something heavy while walking, and when I have to walk up steps or higher ground.

You could have just a pinched nerve that will heal with time and warm baths etc, but you could also have a femoral hernia, which is a bit of intestine going down the leg. It often can't be felt by palpating. The femoral opening is very near the crotch side of the leg. Many people live with them their whole lives, but there is a danger: like any intestinal hernia, they can strangulate, which cuts off their blood supply and gangrene sets in. You would feel extreme pain very quickly, and would need to be rushed to an ER for emergency surgery.
But again, there are many reasons for pain in the groin area and top of thigh. You have a lot of organs flopping around, such as your uterus, sagging organs, strained muscles that go at angles down towards the groin. There are many reasons any of them can hit a nerve.
I have lived with pain in my abdomen my whole adult life that used to go down my leg near the crotch. A chiropractor diagnosed it correctly after 30+ years of failure by MDs. It originated on my sacro-iliac (back) and the sacral nerve, which wraps around to the front, and then associates with nerves there that go down the leg. So you can see that it's not an easy question to answer.