I think the tragedy of this story is that Walter Mitty actually "becomes" nothing except a sad man who leads a monotonous existence and is dominated by a terrible figure of a wife. In a sense, the exciting and adventurous nature of his daydreams only serves to underscore this fact, as it highlights how little adventure and excitement his life holds for him. He is a man who is forced to retreat into his daydreams as a means of making it through each painful day.
When Walter Mitty's wife locates him at the hotel, sitting in the wing-back chair, she is angry that she has had so much trouble finding him. Interestingly, Mitty does not cower to her wrath this time, "Did it ever occur to you that I might be thinking?" he asks. Perhaps, there is a chance that Mitty may assert himself. This new strength evinced at the story's end and the standing of Mitty before the firing squad can, perhaps, suggest the death of his emasculated self, and a rebirth of the man, Walter Mitty.
Walter Mitty's daydreams take him into different experiences where he is smart, heroic and living dangerously. His first daydream has him as a flight commander in a dangerous situation. Because of the nature of the narrative, there is no set climax.
"Thurber's narrative proficiency is such that he actually writes six stories within one."
"None of the mini-narratives have decisive conclusions: each of the dream sequences, like the entire story, is an abbreviated short story with no clear beginning or end."
It is difficult to identify a particular climax in the story, since the main character goes in and out of daydreams throughout the short story.
The action slowly rises and slowly falls, throughout, providing no significant climatic point. At the end of the story, Mitty is the same as he was in the beginning, in the middle of another daydream.
"Walter Mitty is a daydreamer who imagines himself the hero of his fantasies as a navy pilot commander, doctor, sharpshooter, bomber pilot, and noble victim of a firing squad."