Let (Xn,Yn) be a two-dimensional diagonal random walk on the lattice Z2, with transition probabilities depending only on the position of Yn. In this paper, we study its first passage locations X(τa), where τa is the first time Yn hits level a∈Z. We prove that the probability mass function of appropriately rescaled X(τa) is a convolution of geometric sequences, two-point sequences and an AM−CM (absolutely monotone then completely monotone) sequence. In particular, rescaled first passage locations have bell-shaped distributions. In order to prove our results, we introduce and study two new classes of rational functions with alternating zeros or poles. We also prove analogous theorems for standard random walks on the lattice Z2 and random walks on the honeycomb lattice.