I have SPD pedals (505's, if I remember correctly) on my road bike, and I wear road shoes. Yes, it is possible... or at least it was when I last switched shoes. The shoes are Shimano R-085's, manufactured to accommodate two-bolt and three-bolt cleats. The cleats are Shimano SM-SH71, which include a separate pontoon or cleat rubber to keep the actual cleat from making contact with whatever surface you are walking on.
Here's the rub: I bought an extra set of pontoons last year when our wrench said he thought Shimano was phasing them out -- I'm not certain they are still made.
"If we know where we want to go, then even a stony road is bearable." ~~ Horst Koehler