This question may be related to this one, though the construction differs.
Let us consider a PRF $f$. We define $g_k$ as $g_k(x)=f(x)\oplus f(x\oplus k)$. Is $g_k$ a PRF, assuming $k$ is chosen at random?
I tried to prove this as follows. Let us consider an adversary $\mathcal{A}$ that is able to distinguish between $g_k$ and a PRF with non-negligible advantage. Let $\mathcal{R}$ be a reduction that has access to $\mathcal{A}$ and wants to break the PRF security of $f$. In both games, $b=0$ denotes the real world and $b=1$ the random world, where a truly random function is applied instead of $f$ or $g_k$.
At the beginning of the game, $\mathcal{R}$ choses $k$ at random. When $\mathcal{A}$ queries for $x$, $\mathcal{R}$ queries for $x$ and $x\oplus k$, XORs the result and send it back to $\mathcal{A}$. When $\mathcal{A}$ returns its guess $b'$, $\mathcal{R}$ returns the same bit.
In order to prove that $\mathcal{R}$ has a non-negligible advantage, we just have to show that it perfectly simulates an oracle implementing $g_k$. In the case $b=0$, it is the case, nothing differentiates $\mathcal{R}$ from an oracle implementing $g_k$. If $b=1$ however, $\mathcal{A}$ expects to get $\pi(x)$ for a random function $\pi$, while it receives $\pi(x)\oplus\pi(x\oplus k)$. $\pi(x)$ is uniformly random and, by definition of a random function, not related to $\pi(x\oplus k)$, so what $\mathcal{R}$ returns to $\mathcal{A}$ is uniformly random too. It is to be denoted that now that $\pi$ has been defined on $x$ and on $x\oplus k$, $\mathcal{A}$ can predict the value of the encryption of $x\oplus k$ since this would the same as $x$'s. Since $\mathcal{A}$ does not know $k$, this is not a possible strategy. Hence, $\mathcal{A}$ cannot distinguish between these situations.
Is this proof correct? The thing that bothers me is that this new PRF has a lot of collisions, which is quite surprising for a PRF, but I think that the adversary can't find them unless they get to know $k$.