There are four characters in the story, but two of them are developed only in exposition. The primary characters are two French sisters, Julie Roubere and her older sister, Henriette Letore. Although she is the older of the two, Henriette is only twenty-four. "Moonlight" is a story within a story, since the plot includes a dramatic experience Henriette shares with Julie. The story Henriette tells her sister includes two men, her husband and a young lawyer she met while on a trip to Switzerland. These two characters appear only in her story to Julie; they are not part of the action of the primary story which begins with Henriette's arrival at Julie's home and ends with Julie's response to Henriette's tale.
Henriette is developed as a sensitive and emotional woman, trapped in a loveless marriage. Her husband is "perfect," except for his emotional insensitivity toward Henriette and his lack of passion. Henriette's young lover is the antithesis of her husband, seeming to feel and speak all that Henriette feels but cannot share with her husband. Finally, although Julie is younger than her sister, she seems to be the wiser of the two in matters of the heart.