Walter Mitty certainly is a daydreamer. He spends most of his time imagining he is somewhere else, doing extraordinary things. From this, we can conclude that he is absentminded. In other words, he is so enchanted by his own thoughts that he ignores the "real" outside world. His wife must shout at him when he drives too fast. He drives in the wrong lane in the parking lot because he is lost in his own thoughts.
In his real life, Walter is incompetent. He might be more competent if he would pay attention but, again, he is always lost in thought. He constantly makes mistakes. Note the parking lot mishap and his failed attempt to remove the chains from his tires.
Walter feels alienated from modern life and society. There is little to no room for adventure in modern life. Walter has probably been dismayed by the mundane redundancy of his modern life and the lack of excitement in going to the same job day after day. Because of this alienation, Walter creates his own adventures in his mind.
Walter is an introvert. He is not especially good or comfortable in social situations and/or dealing with other people. He is much more at home in his own mind. Introversion is described as "the state of or tendency toward being wholly or predominantly concerned with and interested in one's own mental life." Walter's daydreams are much more interesting (to him and the reader) than his external life is. Introverts tend to be more interested in solitary activities and there is nothing more solitary and subjective than thinking and daydreaming.