Pedestrians, cyclists, and users of motorised two-wheelers account for more than 85% of all the road fatality victims in Delhi. The three categories are often referred to as vulnerable road users (VRUs). Using Bayesian hierarchical approach with a Poisson-lognormal regression model, we present spatial analysis of road fatalities of VRUs with wards as areal units. The model accounts for spatially uncorrelated as well as correlated error. The explanatory variables include demographic factors, traffic characteristics, as well as built environment features. We found that fatality risk has a negative association with socio-economic status (literacy rate), population density, and number of roundabouts, and has a positive association with percentage of population as workers, number of bus stops, number of flyovers (grade separators), and vehicle kilometers travelled. The negative effect of roundabouts, though statistically insignificant, is in accordance with their speed calming effects for which they have been used to replace signalised junctions in various parts of the world. Fatality risk is 80% higher at the density of 50 persons per hectare (pph) than at overall city-wide density of 250 pph. The presence of a flyover increases the relative risk by 15% compared to no flyover. Future studies should investigate the causal mechanism through which denser neighborhoods become safer. Given the risk posed by flyovers, their use as congestion mitigation measure should be discontinued within urban areas.