The privilege walk is a pedagogical tool used to teach students about often-ignored aspects of privilege. Despite their popularity, privilege walks are under-examined in the scholarship of teaching and learning. This leaves open questions about the efficacy of the walk, and whether, and to what extent, the walk yields different results among students from different backgrounds. This paper critically examines the privilege walk by reflecting on our experience of teaching the walk and analyzing student learning reflections about the exercise. We draw on critical race theory to interpret our data and also to help introduce the concept of slippage. We use slippage as shorthand for systematic issues long described by critical race theorists, such as meritocracy, that are reframed as individual responsibilities. We conclude by discussing how educators might prioritize teaching about structural power by integrating ideas from critical race theory, and abandon intellectual traditions that center Whiteness or the individual.