What is the theme of The Secret Life of Walter Mitty?

The theme of a work of literature can be defined as the message a reader might take away after reading the work. With this definition in mind, the theme of "The Secret Life of Walter Mitty" has to do with the link between boredom and imagination.
Walter Mitty, the title character of the short story, desires a life vastly different from the one he actually lives. Walter's day to day existence is dull, and his wife regularly berates him for his various negative qualities, an experience that is also dull. In the short story, Walter loses himself repeatedly in a heroic daydream inspired by something he observes in his immediate situation. Four times, Walter imagines himself far away from his boring existence, and each time, he sees himself to be a remarkable man doing remarkable things.
Thanks to Thurber's creation of Walter Mitty, readers familiar with this short story can use the expression "Mittyesque" to describe a person like Walter Mitty who is trapped in a life he can only escape with imaginative dreams. This theme can lend a positive note to others who live a mundane life; as long as a person has imagination, no situation need be forever dull.

There is definitely a theme focused on different versions of reality. Walter has a specific reality that his fantasies allow him to escape into. That's a common theme that is discussed in this story, but I like digging a little deeper. Walter escapes into his fantasies because of a general dissatisfaction with his life. His wife treats him like he's completely inept, and the general world around him hardly notices him. That is why his fantasies are so focused on him being a larger-than-life character. He feels needed and wanted in his fantasies, and that gives him a general feeling of satisfaction that he doesn't get in his normal life. Additionally, the characters that he chooses to become all share a theme of masculinity. Walter is a normal man, yet he feels dissatisfied by his lot in life. He believes that he simply isn't "man enough," or he wishes that he were more of a man. His fantasies have embraced the mythic notion that a true man is somebody that is large and in charge. It's somebody that bravely takes control of a situation or of people and leads heroic efforts in the fight against evil. These are fun fantasies, but they do show a theme of Walter's general dissatisfaction with his own masculinity.

One of the most important themes is the relationship between fantasy and reality. Walter Mitty yearns to escape from his boring, workaday existence, and fantasizes about being a hero, being "somebody" in life. As the story progresses, the distinction between the worlds of fantasy and reality becomes dangerously blurred. Mitty feels so much more comfortable in his self-constructed fantasy world, but he cannot fully escape the real world, which keeps on intruding upon the products of his vivid, overactive imagination. As such, his whole identity becomes uncertain; the more that fantasy and reality overlap, the less sure he is of who and what he really is at any given time. He might know what he wants to be, but he never really knows exactly who he is, either. At best, fantasy can be a harmless diversion, but in the case of Walter Mitty it acts to estrange a man from his true self, seriously complicating his whole identity.