The girl, Louise Hilton, had only attended the Windmill Hill Nursery School in Runcorn for three days before she made the half-mile journey home.
She passed a pub, two underground subways and a canal, the Liverpool Echo reported.
"My girlfriend had walked her to school at 10 a.m. and a few hours later she knocked on the door and said 'I have walked home on my own, aren't I a big girl?'" Louise's dad, John Hilton, said Thursday. "It's frightening to think what might have happened."
An unnamed official at the school said they were not commenting on the incident.
John Hilton, who said he had not received an apology from the school, said his daughter would start at a new day care Monday.
Police said an initial investigation indicated the girl got out after workmen left a door open.
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