"The Secret Life of Walter Mitty" is Thurber's best-known short story. Walter Mitty has become a well-known character in American fiction. The tenth edition of the Merriam Webster Collegiate Dictionary defines a "Walter Mitty" as "a commonplace unadventurous person who seeks escape
from reality through daydreaming." Waller Mitty, the average, ineffectual American is a recurring character-type in Thurber's fiction. Critics refer to this type of character as the "Thurber male."

However, critics are divided on how to interpret this Thurberian character. On the one hand, Richard C. Tobias's The Art of James Thurber views Thurber as a cerebral comic writer, whose protagonists defeat humdrum reality with their imaginations. On the other hand, Walter Blair and Hamlin Hill discuss Thurber's bleak comic sensibility in their book, America's Humor. Characters like Mitty, Blair argues, let their neurotic fears defeat them, and are unable to cope with the world. In The Georgia Review, Carl M. Lindner sees Walter Mitty as the latest in a line of American male heroes, such as Rip Van Winkle and Tom Sawyer. Like these archetypal comic figures, Mitty chooses to escape society rather than confront it. Refusing to accept adult responsibility, Lindner argues, these figures of masculinity regress to boyish behavior.

Critics disagree about Thurber's portrayal of women as well. Commentators such as Blair and Hill consider him a misogynist—a person who hates women. Viewing Mrs. Mitty as the one responsible for Walter's loss of independence and his inability to function, such critics believe Thurber was opposed to strong, empowered female characters. Tobias, on the other hand, praises Thurber's assertive female characters. Critics who analyze Thurber's stories as lightly comic and triumphant are more likely to regard favorably his depictions of women; those who concentrate on his darker themes point to his negative portrayals of women.

Another issue which recurs in critical discussion is Thurber's view of modern life and his technique in portraying it. His writing has been compared to that of modernist writers such as William Faulkner, James Joyce and T. S. Eliot. His use of wordplay, integration of different narrative consciousnesses, and treatment of the absurdity of modern life connect Thurber's fiction to modernism. Robert Morseberger, in his monograph, James Thurber, characterizes Thurber as a Romantic writer, one who opposes technological advances and rationality and believes in the mind's ability to provide an escape from the destructive forces of society. In an essay in the English Journal, Carl Sundell discusses the "architectural design" of "The Secret Life of Walter Mitty." He notes that Thurber addresses four of the five major types of conflict found in fiction: Man vs. Man, Man vs. Society, Man vs. Self and Man vs. Nature. Sundell compares Thurber's ability to elicit the sympathy of the reader in "Mitty" to J. D. Salinger's portrayal of Holden Caulfield, the protagonist in the novel Catcher in the Rye. He notes that, like Holden, Walter seems to be on the verge of a nervous breakdown. Unlike the adolescent Caulfield, though, Walter is an adult, and thus his chronic daydreaming merits less sympathy from the reader.