Walter Mitty drove on toward Waterbury in silence, the roaring of the SN202 through the worst storm in twenty years of Navy flying fading in the remote, intimate airways of his mind. 

Waterbury is a small city in Connecticut close to Newbury, Connecticut, where James Thurber lived during the second half of the 1930s. He published “The Secret Life of Walter Mitty” during this period. However, Thurber’s Waterbury could easily be any town in the United States since the places the Mittys appear to frequent are ordinary and not unique to Waterbury: a hairdresser’s salon, a parking lot, Main Street, a grocery store, a hotel lobby, and a drugstore. Waterbury contrasts starkly with the settings of Mitty’s daydreams—in this case, a Navy hydroplane “roaring . . . through the worst storm in twenty years.” Since the Mittys are driving into Waterbury to run weekly errands, readers can infer that they live in a nearby small town or farm. Mitty’s everyday life may quite possibly be even less colorful than Waterbury.

A newsboy went by shouting something about the Waterbury trial.

The news story helps readers infer the time and place of the story. Here, Thurber likely alludes to the 1938 corruption trial of Waterbury’s mayor, Thomas Frank Hayes, along with over twenty of his cronies. Interestingly, Mitty takes no interest in the trial, except as a launching point for his own courtroom fantasy. Possibly, a murder trial appeals more to Mitty’s sense of drama than a corruption trial does.

He picked up an old copy of Liberty and sank down into the chair. "Can Germany Conquer the World Through the Air?" Walter Mitty looked at the pictures of bombing planes and of ruined streets.

The magazine Mitty reads helps readers determine when the story takes place. It is likely that through the magazine article Thurber is alluding to the German Luftwaffe, or air force, which took part in the Spanish Civil War (1936 to 1939). The Nazis provided air support to General Fransisco Franco and the Nationalists. The photos most likely come from the devastation in Spain. The article foreshadows the coming World War II, in which the Luftwaffe also notably played a role. Since Mitty’s daydream takes place during World War I, readers might think the Liberty article refers to that war. However, since WWI ended in 1918, the magazine would have to be quite old— almost 20 years—since the Waterbury trial referred to earlier took place in 1938.

"It takes two men to handle that bomber and the Archies are pounding hell out of the air. Von Richtman's circus is between here and Saulier." "Somebody's got to get that ammunition dump," said Mitty. "I'm going over. Spot of brandy?" He poured a drink for the sergeant and one for himself. War thundered and whined around the dugout and battered at the door.

Readers can infer that the setting of this fantasy is the trenches of World War I. The British military used “Archies” as slang for German anti-aircraft fire in that war. “Von Richtman’s circus” refers to Baron Manfred von Richthofen, also known as the Red Baron, the deadliest German fighter pilot in World War I. The media gave his fighter unit the nickname “the Flying Circus” because of their swift, colorful airplanes. Thurber has Mitty confuse “Richthofen” with “Richtman” for comedic effect. Mitty also fabricates the place name “Saulier,” since it is not a European town or region. He might be confusing it with Saulire, a French mountain located in the Alps. But that would be an unlikely location for an ammunition supply depot (or dump). The dugout also places the fantasy in World War I, as dugouts were an important part of the trench warfare of the Western Front of the war. Soldiers used dugouts for rest and eating.