We consider weighted small step walks in the positive quadrant, and provide algebraicity and differential transcendence results for the underlying generating functions: we prove that depending on the probabilities of allowed steps, certain of the generating functions are algebraic over the field of rational functions, while some others do not satisfy any algebraic differential equation with rational function coefficients. Our techniques involve differential Galois theory for difference equations as well as complex analysis (Weierstrass parameterization of elliptic curves). We also extend to the weighted case many key intermediate results, as a theorem of analytic continuation of the generating functions.