It's painful but the walking speed is intentional. You're supposed to trudge through the world for a couple levels so that you feel so much faster by level 5, and really fast by level 10 or 15.
The hardest part of morrowind these days is those first five levels, when in addition to learning the game's systems, you have to get past the game intentionally being harsh. With the low speed, the bad rolls, and the crappy fatigue, it takes a toll.
One fun way to deal with the speed issue is the "boots of blinding speed."
They're easy to get, and they let your character run extremely quickly. But they also completely blind you - the screen goes black when you put them on.
You can get them by escorting or killing a traveler on a road near near Caldera. They promise you a great treasure if you walk them to a nearby town, but the boots are pretty useless if you don't have a way to resist magic.
I can't believe so many people got filtered by the bandit in the cave near seyda neen, me included. Years later I got filtered by dark souls, and now it's total war. I went back and replayed them all with a new mindset based on learning, and it's a totally novel experience.
The hardest part of morrowind these days is those first five levels, when in addition to learning the game's systems, you have to get past the game intentionally being harsh. With the low speed, the bad rolls, and the crappy fatigue, it takes a toll.