According to the American Century Cookbook, the first Waldorf Salad was created in New York City in 1893, by Oscar Tschirky, the maître d’hôtel of the Waldorf Astoria.
The original recipe consisted only of diced red-skinned apples, celery, and mayonnaise. Chopped walnuts were added later to this now American classic.
Some prefer their Waldorf salad made with yogurt, instead of mayo. Having had this salad both ways, I fall firmly in the mayonnaise camp. But feel free to substitute yogurt for the mayo if that’s your druthers.