The theme of this story is masculinity. Walter Mitty feels that he would become more masculine if he becomes great. He is unhappy with his current life and he feels that he could change it by dreaming. In his dreams, he is good. In fact, he is the best. In reality, he knows that this is not true.
The main reason why he is unhappy with his life is that he feels that he is not living up to his ultimate masculinity. This is a drama-fantasy movie that shows people that dreaming is good but nothing will come out of the dreams if you do not take any action in reaching what you want.