What dangers have the parents begun to recognize at the beginning of the story?
At the beginning of the story, Lydia Hadley is conscious of the fact that her children's nursery has changed, indicating some change in their children's mental health and well-being. She asks her husband, George, to look at it or to call a psychologist out to take a look. Why else would she want a psychologist unless she feared some danger to her children's mental health?
When George and Lydia enter the nursery, they see the African veldt that their children have, evidently, dreamed up. George gives voice to what they are both thinking: "This is a little too real." They can feel the heat of the sun and smell the lion grass, the water hole, and the "rusty smell" of the lions themselves. When the lions charge at the couple, George and Lydia actually run from the room in fright, and Lydia feels that the lions "almost got [them]." George tries to reassure her that the walls are only made of crystal, that nothing in the nursery can actually pose any real danger to them, but Lydia is afraid, and she beseeches him to tell their children that they can read no more books on Africa. She seems to fear that the kids have become somewhat desensitized to the violence that occurs in the natural world—animals eating one another, vultures picking at the carrion, and so on—and she is quite emotional and aware of the dangers of the nursery for themselves and their children.
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