Mrs. Mitty's first lines in the story are "not so fast! You're driving too fast . . . What are you driving so fast for?" However, it would be a mistake to say that Mrs Mitty only berates and barks orders at her husband. At times, she actually seems quite worried about his daydreaming. At the beginning of the story for example she says, "I wish you'd let Dr. Renshaw look you over," and at the end of the story, she tells him, "I'm going to take your temperature when I get home."
The problem seems to be that they just don't connect as people. The only thing that Walter wants to do is to escape from reality. Notice that none of his daydreams have anything to do with his wife. In fact, when she wakes Walter up from his reverie in the second paragraph the author states:
She seemed grossly unfamiliar, like a strange woman who had yelled at him in a crowd.
Perhaps the only reasons they stay with each other are habit and because they can use the relationship to hide their weak points and protect themselves from the outside world. Walter in particular seems vulnerable and sensitive to the criticism and antics of others. At one point, he admits that he would find life difficult without his wife at his side.
Walter Mitty began to wonder what the other thing was his wife had told him to get . . . he gave up. But she would remember it.