I'm trying to download a directory with python3 using the requests library. I wanted to do it by "walking" (like os.walk), but never found the corresponding functions in requests.
I struggle to find another way to do it.
You won't find the "corresponding functions" (=> to os.walk()) in requests because there's no concept of "directory" or "directory listing" in the HTTP protocol. All you have are urls and resources... 
Given your specs ("I try to get data from my own server, so it lists directory contents"), the best you can do is parsing the HTML your server generates for directory listing and issue requests for the links you find. BeautifulSoup is possibly the simplest solution for the parsing.
Trying to download a directory with requests