The Mystical and Supernatural
Yeats was a poet who returned frequently to themes that centered around his interest in the Pagan religions, and particularly the existence of an "other world" that was not constrained by the same laws of time or mortality that the physical world is. This is most obvious in the title poem, where the eponymous protagonist leaves the physical world for the supernatural world as the lover of a faerie princess who offers him immortality. During his wanderings he meets winged horses, giants and monsters that take a century to defeat. The characters that he meets in the mystical world are written with as much authenticity as the characters he has left behind in the physical world, and this indicates that Yeats gives their existence as much credence as he does the existence of the person standing in front of him.
There is also a suggestion that some of the characters in the mystical world can be as selfish as some of the characters in the physical world. An example of this is the Faierie narrator of the poem entitled The Stolen Child, who seems well-aware that the boy will not want to go with them but is determined to take him anyway. This humanizing of the mystical characters also demonstrates Yeats' belief in their existence.
Church v State in Ireland
This is not specifically a stated theme in the poems, primarily because they are set in a time preceding the issues at the forefront of Ireland at the time that the poems were penned; however, there is an underlying theme that suggests Yeats was uncomfortable with the way in which he viewed the interests of Ireland were being subsumed somewhat within the union of Britain. The references in the conversation between Oisin and St. Patrick that center around the replacement of Paganism by Catholicism mirror Yeats' concern that Catholicism would be gradually replaced by the Protestant religion of the Church of England. As a proponent of Ireland as an independent member of a four-country union, Yeats was every anxious to convey his disapproval at the sweeping away of the old by those who did not come from his homeland.
Pastoral Ireland
We learn much about the appearance of the nation of Ireland through this collection of poems. Even those poems that are essentially about love also focus heavily on the backdrop to the love affair that is taking place. The regretful romantic narrator of Down by the Salley Gardens spends almost as much time describing the place where his lost love is walking as he does describing her; when he does describe her it is in relation to her surroundings, as if they have a bearing on her appearance to him in some way.
Ireland is also shown to be a special land that people would literally give up immortality to return to. Oisin seems to be in love with Niamh, and he is living in a place that guarantees him immortal life, yet he is willing to put this in jeopardy by returning to the physical world so that he can see his old comrades and his old country again. Similarly the boy in The Stolen Child is going to have a future filled with magical surroundings, beautiful waterfalls and flowers and forests, and magic, yet the faeries concede that none of this can compare to the sight of two mice chasing each other around an open bag of oats. Yeats conveys his love for Ireland in all of his poems, even the ones in this collection that are essentially mystical and rooted deeply in the metaphysical.