The Cleveland Way starts at Helmsley Castle, which gives the town a useful walking identity beyond its individual sights. The full trail runs across the North York Moors and on to the coast, but day walkers can use the first stretch for a satisfying taste of the moor-edge country.
The classic short plan is to walk towards Rievaulx and loop back to Helmsley. It gives you fields, woods, abbey views, and the pleasure of returning to a market square instead of a car park.