There are very few characters in the short story The Dream of a Ridiculous Man. In fact, none of them are even named. The entire narrative is told from the point of view of the narrator himself in a somewhat stream of consciousness fashion.

The narrator is seen by others as a madman. When the story starts, he is nihilistic and feels nothing for anything. He recounts to the reader his nighttime walk through the rainy streets of the city and his melancholic despondency. It is this night that he decides to commit suicide. He then tells us of his encounter with the little girl and the dream he has that follows. The dream causes the narrator to wake up a thoroughly changed man. He is now convinced of the inherent goodness of humanity and dedicates himself to sharing this revelation and atoning for his past.

After the narrator, perhaps the most important character is the little girl. She is about eight years old and dressed poorly. The narrator makes special note of her torn boots. She is desperate, crying something about her mother and imploring the narrator for help. He shoves the little girl away and yells at her. However, later when he is back in his room preparing to end his own life, it is the narrator's feelings of pity for this girl that stays his hand.

The captain, who has a room next to the narrator, is briefly described. He is a frightening man who is prone to fits of rage and violence who terrifies his family and the landlady. We do not meet him directly in the story, but he can be heard through the wall playing cards with visitors and drinking and cursing heavily.

We also briefly hear about an engineer that the narrator knows. While the narrator is with the engineer and two other men who are all having a deep and animated discussion, the narrator asks them all if they even care about their discussion. They laugh at him for this silly question. This seems to be the event that first places the idea of suicide in the mind of the narrator.

Within the narrator's dream, we meet a mysterious companion who carries the narrator out of the grave and far away from Earth to a seemingly identical planet full of loving and innocent people.