I have read "The Secret Life of Walter Mitty" many times over the years, including once just recently to refresh my memory for answering one or two eNotes questions. I don't remember ever feeling particularly sorry for Walter Mitty, although I can understand why younger people might. There are many Walter Mittys in the world, but they are probably all middle-aged and married.
The time of life when most people experience adventures in reality has passed. Mitty has settled into a humdrum existence which is all too common once a man has passed the age of forty. The story wouldn't have been so popular if a lot of people had not identified with Walter Mitty. It occurs to me that it is significant that his fantasies all involve a man who would have to be middle-aged in order to experience them. Take the opening one, for example:
"We're going through!" The Commander's voice was like thin ice breaking. He wore his full-dress uniform, with the heavily braided white cap pulled down rakishly over one cold eye."
"The Old Man'll get us through," they said to one another. "The Old Man ain't afraid of Hell!"
Mitty would have to be in advanced middle-age in order to be a Commander. It is significant that the young crew members call him "The Old Man." Mitty is not compensating for a lack of adventure in his life. He is too old to be enjoying real adventures; he can only enjoy them in his imagination. One must envy him for having such a rich imagination--but since Mitty is really James Thurber himself in disguise, he could be expected to have a rich imagination and to live a lot of his life in fantasies. That's how Thurber really was. And in his day the people in America and England loved him for it.
When Mitty lets his wife off at her hairdresser's, she tells him:
"Remember to get those overshoes while I'm having my hair done....You're not a young man any longer."
Mitty is not a caged animal. He couldn't be leading any other life than the one he is leading. His wife only mothers him because he is the type of man who needs mothering (and probably enjoy mothering). He lives in his imagination, and therefore he is incompetent in real-life situations.
While he is imagining himself as a world-renowned surgeon performing a tremendously difficult operation, he can't handle the job of parking his car. Here again we have the fantasy of a middle-aged man. It would take many years to acquire such surgical expertise and to acquire such a reputation. This fantasy is interrupted when he hears:
"Back it up, Mac! Look out for that Buick!"
On the other hand, it is easy enough to feel sorry for Mitty's creator. James Thurber was hit in the eye by an arrow while playing Cowboys and Indians as a boy, and he had increasing trouble with his vision all his life. In his old age he was completely blind. He was unable to draw any more of his wonderful cartoons, and of course he was completely dependent upon other people. He lost most of his sense of humor because of his depression. The stories he wrote took on a caustic tone, and he had to suffer the humiliation of having them rejected by The New Yorker, the magazine he had helped to create.
"The Secret Life of Walter Mitty" is well known because it is one of the few stories he allowed to be published in other people's anthologies. But he published countless other stories and essays in his own collections, including The Thurber Carnival, and many of them are as good as "The Secret Life of Walter Mitty"--or better.