The Great Gatsby is set at a time of great social change in America. In the late 1920s, thanks in no small part to the mass production of the automobile, horizons noticeably began to broaden. Millions of people all across the country started to realize that they were no longer bound to the communities in which they had been born and could head off to the growing cities to make something of themselves.
This desire to escape from small-town America is epitomized by Jay Gatsby. Gatsby's real name is James Gatz, and he was born and raised in the Midwest. But Gatsby wanted to be rich and successful; he wanted to be a tycoon like his business mentor Dan Cody. And so he changed his name, adopted a different persona, and became Jay Gatsby, a rich man with a large mansion.
The problem, however, is that Jay doesn't have everything he wants. Like the society in which he lives, he's dynamic and restless, always looking to change something about his life. Although he might have a nice house, lots of money, and an impressive collection of designer shirts, Jay doesn't have Daisy, the woman of his dreams. And so he remains deeply unsatisfied with his life, irrespective of his vast wealth.
The changing, restless nature of 1920s American society can also be seen in another character in the story, Myrtle Wilson. Trapped in an unhappy marriage to a gas station owner down on his luck, she desperately wants to escape the valley of ashes and live the high life. She thinks that conducting an extra-marital affair with Tom Buchanan will be the first stage to achieving this goal.
In actual fact, there's no chance that this will happen. Tom will never leave Daisy in a million years, and besides, he doesn't see Myrtle as wife material. But society, with its changing, restless nature, positively encourages people from humble backgrounds, like Jay Gatsby and Myrtle Wilson, to shoot for the stars, to have goals, dreams, and ambitions, no matter how unrealistic they may seem.