As World War II continued, the Allies suffered some crushing defeats and demoralizing setbacks. Among these was the evacuation of British forces at Dunkirk. The German Blitzkrieg relentlessly bombarded London night after night. London in the 1940s is the primary setting of The Heat of the Day. One of the characters, Robert Kelway, is a British military officer who survived Dunkirk but received a serious leg injury. Bitter and apparently convinced that Germany will win, he has secretly switched sides and has become a spy for the Nazis.

Elizabeth Bowen addresses the primary theme of loyalty and betrayal by placing Kelway in a secondary position. The protagonist is his lover, Stella Rodney, who works in the coding division of military intelligence. She embodies the loyalty theme in terms of a choice between her country and her heart.

The theme is elaborated into a sub-theme of free will and coercion. The character of Harrison, an agent of British intelligence, is the one who tells Stella of Kelway's treasonous activities. Rather than apprehending him, however, he tries to use his knowledge to gain sexual favors from Stella. He offers to protect Kelway's secret if she will sleep with him. Stella cannot be sure if this is a trap. Although she is deeply patriotic, she wants to know if Harrison's story is true. Far from a heroic character, Harrison is shown as unethical for pressuring Stella instead of allowing her to choose freely. Kelway later confesses and dies, so she does not have to decide.

The theme of nationalism is also important. This is played out in the main plot involving Stella's decision. It is further developed in another plot line. Stella's recently deceased cousin has left her son, Roderick, a home in Ireland. When they visit, Stella considers the relationship between England and Ireland, wondering if she could live there and feel truly connected to Ireland.