"Winter Dreams" is of course, like the majority of the fiction of F. Scott Fitzgerald, set during the Jazz Age, that crazy, irresponsible and wonderful era of the 1920s in America that he helped define himself by living it out in all of its tremendous excesses. The Jazz Age of course was linked extremely closely to the American Dream, which held out the tantalising and haunting possibility that anyone through the power of sheer determination, force of will and ambition, could "make good" and leave behind them their humble roots and take their place among the rich and famous. This is of course part of F. Scott Fitzgerald's own story, as his writings helped him to gain wealth and prestige unthought of when you consider his background.
Thus it is that we are presented with a protagonist, Dexter Fletcher, who spends most of his life haunted by his "winter dreams" and their inaccessibility. His dreams, which can be read synonymously to be the American Dream, become focussed in the person of Judy Jones, who symbolises the success, wealth and elegance that Dexter drives himself to achieve. However, as in Fitzgerald's own life, Dexter Fletcher is forced to accept the illusion that his "winter dreams" were always based on at the end of the tale:
"Long ago," he said, "long ago, there was something in me, but now that thing is gone. Now that thing is gone, that thing is gone. I cannot cry. I cannot care. That thing will come back no more."
In these final words both from Dexter Fletcher and of the story itself, the author seems to offer his comment on the American dream, suggesting that the American dream by its very nature can never be fulfilled and also that following the American dream will only ever lead to disappointment and loss.