The Compensatory Function of the Imagination
Walter Mitty has a "secret life" not simply because he is an imaginative fellow, but because he is an unhappy man. Though we begin the story in his imagination and follow his fantasies over the course of the narrative, we learn not just about what the man can think up and desire, but also that from which he wants to flee: his nagging wife, his humdrum day-to-day existence, his social ineptness. That his imagination is so constituted means that while it gains strength in inverse proportion to the embarrassment and frustration he feels in "real life," it is also limited by the gaps he has to fill up in the latter. Mitty invents specific stories in order to escape from specific frustrations in his life.
Sensitivity
Walter Mitty is only able to imagine so vividly (and to suffer such intense embarrassment because he possesses a heightened sensitivity. Although it is not made clear whether the narrative is seen entirely from Mitty's point of view, or whether there is an omniscient narrator aware of more than he is, the profusion and vividness of details in the story point towards a character who is (painfully) aware of all the richness in the world—a richness that he himself has access to only in his fantasies.
Cliché and Convention
Although Walter Mitty is very imaginative, one cannot but notice that none of his daydreams are what we might properly call "original": he places himself into a scene that seems taken out of an action story, comic book, or movie. While this may seem to be an embarrassing quality of Mitty's, one which leads the reader to look down upon both his imaginative ability and his suffering sensibility, it also works as a testament to the power of literature and art—even of the most conventional sort, to transport us out of our daily lives.
One-way Escapism
Although it may seem obvious, it is important to note that all of Walter Mitty's fantasies leap out of reality, as it were, and do not return to them: the end of each dream is occasioned by a tailing off or an abrupt cut (accompanied by psychological shock) back to reality, where he finds himself at a different point from where he began to daydream. Mitty is an escapist because his fantasies don't provide any insight or help him work through situations he faces in reality.
Frustrated/Repressed Desire
Walter Mitty's alternation between a life of boredom and frustration on the one hand and dreams of fulfillment on the other seems to lend itself very easily to a psychoanalytic reading. Without getting mired in the terminology, it would be useful to point out that many of the things that Mitty takes pleasure in fantasizing about are precisely the things that he lacks—and moreover does not even have any contact with—in his daily life. Although he has a score to settle with the garageman who grinned at him and at people in society who do not understand him, one of the most fundamental of his lacks is manifested in the character of his wife: nagging, not comforting or arousing. There is one "lovely, dark-haired woman" staged clearly as an object of Mitty's desire, but we may note also the nurse in the "Dr. Mitty" episode: even where the woman seems to be just another element adding to Mitty's self-glorification, she is, in fact, the central core of his fantasy—or, what amounts to the same thing, that which he most desperately lacks.
Impotence and Self-Glorification
Walter Mitty's fantasies are all clichéd and all involve one or another form of glorified masculinity. As noted in the section above, this may be explained as a dream fulfillment of sexual desires frustrated in real life. To expand on the point, we should take note of the specific form of Mitty's frustration: emasculation. Thurber lines up the details subtly and skillfully: In the fantasies it is Mitty who is the exemplar of maleness to whom other (usually younger) men look up to, whereas in reality it is his wife who determines his masculinity and his maturity, admonishing him to wear his gloves and own overshoes.
Violence
It may be easy to overlook the ubiquity of violence in Mitty's fantasies when we make the quick identifications of them as clichéd; but in fact, each of Mitty's fantasies becomes progressively more violent, starting with more abstract struggles against forces of nature and illness, leading to a past murder, a courtroom brawl, and then even the execution of the dreamer himself. If we think of this progression, it may make the ending look somewhat grimmer than it would as simply the most dramatic of the dreams. We might ask ourselves: what kind of progression would Walter Mitty undergo, or at least have the capacity to undergo, in real life if his dreams tend in this direction?
