As The Pity of War is a work of nonfiction, there are no "characters," per se. In the book, Niall Ferguson discusses the First World War and its effects in ways that are seen as unconventional, and in ways that raise questions about our understanding of the Great War.

Important figures, or "characters", one will encounter in this history are: Austrian Arch Duke Franz Ferdinand and his assassin, Serbian nationalist Gavrilo Princip, whose encounter ignited the war; leaders of the newly formed German Confederation such as Kaiser Wilhelm II and Otto Von Bismarck; Georges Clemenceau, David Lloyd George, Vittorio Orlando, and Woodrow Wilson who led the charge for peace. The amount of players in the First World War is unending.

One could consider Ferguson himself a character in this work, as he explains the events of his childhood that sparked his interest in history and the First World War, particularly the memorial on the grounds of his school.