Whisk yogurt, mayonnaise, curry powder, salt and cayenne in a medium bowl. Grate 2 teaspoons zest from the orange and add to the dressing.
Using a sharp knife, cut off the peel and white pith from the orange. To make attractive segments, hold the orange over the bowl (to catch the juice) and slice between each segment and its surrounding membranes. Add apples, celery, raisins and walnuts; toss to combine.