In the short story, Walter Mitty is a quiet and unassuming man who has daydreams of an exciting life. During the story, while shopping with his wife, Mitty daydreams of various heroic adventures, seemingly inspired by pulp fiction stories. His daydreams are also directly inspired by events in his life; as he drives by a hospital, for example, he envisions himself as a master surgeon performing a difficult operation.
He drove around the streets aimlessly for a time, and then he drove past the hospital on his way to the parking lot.
. . . "It's the millionaire banker, Wellington McMillan," said the pretty nurse. "Yes?" said Walter Mitty, removing his gloves slowly.
(Thurber, "The Secret Life of Walter Mitty," bnrg.cs.berkeley.edu)
The "secret life" of the title is composed of Mitty's fantasies, where he is not just a simple man living an ordinary life among thousands, but an important individual who has tremendous effects on others and on the world. This sort of fantasy, dream and delusions of grandeur, do not extend to his actual life; Mitty remains at the beginning and end exactly the same, although his subconscious slyly equates his continuing ordinary life to execution by firing squad.