One theme that can be gleaned from this short story is that a person should not judge others until they have shared a similar experience. The saying, "Don't judge others until you've walked a mile in their shoes" comes to mind when discussing the theme of The Most Dangerous Game.
As the story opens on the water, Rainsford is talking to his companion, Whitney about whether or not the animals Rainsford hunts have feelings about being hunted. Whitney feels empathy for the animals hunted and Rainsford believes this is nonsense. He says to her, "there are two classes, the hunters and the huntees." He feels that the game he hunts are put there to serve the purpose of being hunted and they feel neither pain nor fear about being hunted.
As the plot unfolds on Zarrof's unique island and Rainsford is forced to play the "game" he begins to change his feelings about the huntees because now he has become one.
Rainsford prevails at being a cunning piece of game to hunt and wins Zarrof's game, therefore sending Zarrof to his dogs. Rainsford enjoys his victory bed and peaceful sleep and he is changed at the close of the story because now he too can empathize with game that is hunted. He "walked a mile in the shoes" of a huntee and now he knows that a huntee does in fact experience pain and fear at being hunted down.