Three of the episodes in Walter Mitty's secret life have a military theme. In the opening, he is Commander Mitty, piloting a "huge, hurtling eight-engined Navy hydroplane" in a storm that is "spoiling for a hurricane." Another fantasy is inspired by his glancing through an article in an old copy of Liberty magazine titled "Can Germany Conquer the World Through the Air?" Mitty becomes Captain Mitty, a gallant ace pilot in World War I. In this case he makes himself a younger man serving in an earlier war, but evidently he is in command of the whole squadron. His final fantasy is inspired by the simple fact that he is standing with his back against a wall to keep out of the falling rain and sleet. He imagines himself standing before a firing squad. Evidently he a spy who has been sentenced to a military execution. His age in this role in not indicated, but the fantasy seems to suggest the death wish of an aging man who is getting tired of the pointless life he has been leading in the world of reality.
He took one last drag on his cigarette and snapped it away. Then, with that faint, fleeting smile playing about his lips, he faced the firing squad, erect and motionless, proud and disdainful, Walter Mitty the Undefeated, inscrutable to the last.
The firing-squad fantasy is also inspired by the fact that Mitty has lighted a cigarette. He knows it is customary for men to be given a last cigarette before being shot.
The fantasies recorded in the story begin with Mitty noticing that there is a threat of rain. He is driving his wife into the town of Waterbury in Connecticut for her weekly appointment with her hairdresser. He has to get to town, run a few errands, wait for his wife, and get them both back home in the rain. Mitty is not a good driver. This triggers the fantasy that he has to get through a hurricane on a special mission.
"We're going through!" The Commander's voice was like thin ice breaking.
Then at the end, the approaching rainstorm has reached Waterbury.
It began to rain, rain with sleet in it.
This rounds the story out and gives it a feeling of conclusion. However, the reader also feels that a man with Mitty's fertile imagination must have numerous other fantasies which are not included in this story. This story is actually only a glimpse into the glamorous secret life of Walter Mitty.