In the given excerpt from Walden,
"Under the most splendid house in the city is still to be found the cellar where they store their roots as of old..."
the pronouns that appear are they and their, both of which are personal pronouns. A personal pronoun is one that comprises a set that contrast of person, gender, number or case. Other examples of personal pronouns include he, she, you, I, it, me, him, us. So of that's what your looking for?