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Camping overnight at Walmart can be safe. However, some locations are safer than others. Your expensive RV may attract attention in areas with high crime. People with ill intentions may see your RV as an opportunity to score something of value easily.
Stealth camping is very difficult in New York City and other major cities, as Travel Beans learned. The crowded and narrow roads mean you have very few places to park along the streets. Many neighborhoods require permits and will issue citations to those caught parking without them. Popular vehicles used for stealth camping stick out like sore thumbs in parking lots and along empty streets in the middle of the night.