although new haven isn't a huge city, it definitely has an urban feel, and not a 'quaint small town' feel. the business school campus is a few blocks away from the undergrad campus (10 min walk). the areas immediately surrounding SOM are mostly residential and nice to walk around in.
downtown is nice and has various shops, but there has been a recent string of robberies and crime in the area. yale university police is working with new haven police to address the issue; even so, it's always best to take precautions like walking in groups and taking the shuttle late night. after 6 pm, there is a free shuttle that takes you to/from anywhere in new haven; all you have to do is call the phone # and it picks you up wherever you are.
if you're looking for a non-urban feel, though, yale isnt the right place. someplace more rural/secluded like Tuck might be a better fit.
edit to add - i came from an urban setting (NYC area), so i've walked around pretty much all of new haven at all times of the night, and i haven't felt unsafe yet. single females walking around after dark might have a different opinion though.
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