A short story reminiscent of Charles Dickens's Great Expectations and seemingly a prelude to The Great Gatsby, "Winter Dreams" is divided into six episodes.
Having become a well-recognized golf caddy, fourteen-year old Dexter Green, the son of a businessman who owns "the second best" grocery store in Black Bear Lake, Minnesota, witnesses a tantrum by a rich,willful Judy Jones. Dexter is intrigued by the power she wields simply because of her class; in response to this seductive power, Dexter feels he must respond in kind. So, when he is asked to caddy, he refuses and quits a job that paid him well. "Dexter was unconsciously dictated to by his winter dreams."
Dexter's "winter dreams" of becoming rich and associating with the wealthy" drives him to attend a prestigious university in the East. After graduation, Dexter returned to Minnesota, moving to the town from which Black Bear Lake "draws its wealthy patrons" and enters into a lucrative partnership in the laundry business; soon, after he specializes in washing the fine woollen golf-stockings of the rich without shrinkage and later, the ladies' fine lingerie, he became wealthy enough to sell out and move to New York.
But, before he departs for the big, prestigious city, Dexter plays golf with Mr. Hart and his associates, for whom he has once caddied. While playing one hole, Mr. Hart hits his ball into the ruff and the men search for it. Suddenly, they hear "Fore!" but it is too late, a golf ball strikes soundly into Mr. Hendrick's stomach. A girl who is "arrestingly beautiful" emerges from over the hill; she makes no real apology: "I'm sorry. I yelled 'Fore!'" Casually, she departs, leaving Dexter smitten.
Later, as Dexter watches the beauty of the harvest moon from the veranda of the country club, he spots Judy Jones navigating her boat on the lake. Recognizing him from the afternoon, Judy calls to him, asking if he can drive her boat so that she can ride the surf-board from behind the boat. Smitten again by her, Dexter complies and "for the second time, her casual whim gave a new direction to his life.
The following evening Dexter again meets Judy, who tells him of her great disappointment in a man whom she presumed rich, but has revealed that he is not. Dexter declares that he is "nobody," but he is not poor; his career "is largely a matter of futures."
Their relationship begins as Dexter "surrendered a part of himself to the most direct and unprincipled personality" which he has ever encountered, and he surrenders himself to her beauty and passionate energy. He is in charge of little but the "exquisite excitability" of the moment. But, love is an illusion as Dexter begins to realize that Judy is "entertained only by the gratification of her desires"; in short, she is yet the selfish girl she was years ago. And, to his further disappointment, Dexter realizes that he is but one of several young lovers; consequently, Judy simply nourishes her own ego with them. But, there is no cure for Dexter's illusions about her desirability and he wants to take her with him to New York.
However, because he realizes Judy is unattainable, he finds himself engaged a year and a half later to Irene Scherer, whose father has always had faith in Dexter. But, on one night in which Irene has a headache, Dexter returns to his rooms at the University Club only to hear the voice of the Siren, Judy Jones. He succumbs and takes a drive with her as she bemoans her tragic, beautiful condition: "I'm more beautiful than anybody else...why can't I be happy?" She adds, "I'd like to marry you if you'll have me, Dexter....I'll be so beautiful for you, Dexter."
Succumbing to Judy, Dexter crushes Irene and her parents, who have befriended him. After only one month's happiness, Dexter still bears no malice to her after she terminates the engagement, knowing that "he would love her until the day he was too old for loving--but he could not have her." So, he goes East and enlists in the army during World War I, "welcoming the liberation from webs of tangled emotion."
Years later, Dexter has become a very successful businessman. An associate of his from Detroit named Devlin remarks one day to Dexter that he was a groomsman for a friend, who married a girl from Dexter's hometown named Judy Jones, a pretty woman who has now lost her looks; however, "[S]he has nice eyes. Hearing this, Dexter is jarred, acknowledging that he has lost something more, "the dream was gone"--his "winter dreams" faded into nothing. Like Pip of Great Expectations, who has lived his life loving the beautiful, selfish, heartless Estella, hoping that she someday would change, Dexter learns that his inspiration has ended as Judy now has an abusive husband--like that of Estella--and only the solid realities of life are left to him: "there was no beauty but the gray beauty of steel that withstands all time." His illusions of youth "will come back no more."