Walter's wife, known in the story as "Mrs. Mitty," treats Walter like an absent-minded child. She is overbearing, condescending, and critical towards Walter. But she is also Walter's link to the real world. While Walter is off in his own imagination, it is his wife or other people who bring him back to reality. This relationship of Walter's imagination (his escape from reality) and his wife's nagging (in efforts to bring him back to reality) is an uncertain "chicken and the egg" situation. We, readers, don't know if Walter's imagination is what caused his wife to become the practical, reality-based wife that she is or if Walter uses his imagination as an escape from his overbearing wife. Even if we knew which came first (Walter being absent-minded or his wife being condescending), it is just as likely that over the course of their marriage, Walter's and his wife's behaviors fed off of each other; and therefore, who started the whole cycle is somewhat irrelevant.
At the end of the story, when Mrs. Mitty returns from her appointment, Walter says, "Things close in." This is noted as a vague statement but could be interpreted to illustrate how Walter feels about the real world. He feels trapped and therefore resorts to fantasies in order to escape from that trapped feeling. One could sympathize with Mrs. Mitty, knowing that Walter is always absent-minded to the point of being careless. On the other hand, one could sympathize with Walter. Even when Walter tells her he was thinking, a valid excuse, she dismisses it as a fever:
"I was thinking," said Walter Mitty. "Does it ever occur to you that I am sometimes thinking?" She looked at him. "I'm going to take your temperature when I get you home," she said.