In this story, Walter Mitty has to resort to day dreams or fantasies because he is so ineffectual in his actual life. He is totally weak and he is dominated by his wife. Because of this (and because he doesn't like these feelings) he has daydreams where he is just the opposite.
I would say that the daydream that most shows him as brave is the very first one. In this one, he is a military officer who is going to fly his plane through a storm, regardless of the danger. He inspires his crew to have confidence that they will be safe.