If you're not carrying much luggage, come out of the station onto York Way. Go up there and just after a set of traffic lights the road passes over the Grand Union Canal.
Go down on to the towpath and walk with the water on your left. It'll take you through Camden Town, you can stop at Camden Market for a beer, and into Regent's Park, past London Zoo and more or less all the way to Maida Vale.
You'd best come off the canal at the end of the park, go past Lord's cricket ground along St John's Wood Road and there you are. It'll take about an hour and a half walking. And for much of it you won't realise you're in London. Take an A to Z in case you get lost.
I worked in King's Cross until just a couple of years ago and would do this walk quite often as far as Camden on my way home. I do the bit through the park every time I go to Lord's, it's a really pleasant bit of unkown London.