Walter tells Victoria that he was brainwashed and forcefully turned into Millenium's minion, but then says that he attacks what remains of Hellsing by his own free will. Bad characters usually mess with good ones, so it's not clear how it really happened to him.
Right after Walter tells Seras that he was brainwashed, he follows it up with "Is that what you wanted to hear?" Implying that this story is a lie and that he is making fun of her shock at his betrayal. Also he says that he has wanted to defeat Alucard for a very long time, implying that he planned his betrayal. This is further evidenced from when he says "I thought it was you" when he is "captured" by the Captain. From all of this, it seems that he really did join by free will.