Walter Mitty is the main character. He is an absent-minded daydreamer who prefers the world of his imagination to his real life. Mrs. Mitty, his wife, is much more of a realist and seems to be quite overbearing towards her husband. This is partially correct. She is overbearing. But she is constantly trying to bring Walter out of his daydreams and back to reality. This gets very frustrating for her and results in her scolding Walter often.
There are secondary characters such as the parking lot attendant (unnamed) and Dr. Renshaw who might be their family doctor. However, Dr. Renshaw also appears in one of Walter's daydreams. So far, I've listed the characters in Walter's "real" life. But since we are dealing with characters in a work of short fiction, we should also include the characters in Walter's mind. That is, we deal with the fictional characters in the story (Walter, his wife, the attendant, Dr. Renshaw) as well as the fictional characters in the "stories within the story."
In Walter's first daydream, the characters are a Commander and a Lieutenant Berg, in charge of a hydroplane. Walter and is wife are driving and she snaps him out of this daydream.
The second daydream occurs shortly after Mrs. Mitty mentions Dr. Renshaw. In this daydream, Walter is a famous surgeon operating on the million banker Wellington McMillan, who happens to be a friend of President Roosevelt (F. D. R.). Other doctors appear as well. These include Dr. Renshaw, Dr. Benbow, Dr. Remington, Dr. Pritchard-Mitford, and an unnamed nurse.
In the next sequence, Walter is on the witness stand in a courtroom. Other characters are a District Attorney, a judge, another lawyer, Gregory Fitzhurst (the victim of the crime), and an unnamed woman who falls into Walter's arms.
In the next daydream, Walter is a successful bomber pilot. Other characters are a young Raleigh, a sergeant, and Von Richtman (presumably the enemy).