I have a street with sidewalks, but I cannot go on them, even if they are connected
How exactly do I make the whole piece walkable? I mean eliminating that empty space between the 2 blue areas.
( It’s my first project, I am not familiar with the Unity terms & expressions)
You can increase the Step Size in the settings of the Agent for which you bake the NavMesh. This will apply globally, not only to some desired sidewalks, but to any two surfaces that have a difference in level less than Step Size.
i know this question is old, but in case someone is still wondering just decrease the Agent Radius in the Bake section: 
