Like the story’s plot, the setting can be divided into reality and fantasy. In reality, the Mittys travel into the town of Waterbury on a weekly trip to run errands. The story does not mention the state, but readers can infer that it is Connecticut. In the 1930s, Thurber lived in Newton, Connecticut, less than 20 miles from Waterbury, also in Connecticut; so, it seems like a natural, real-world setting. However, the setting could be almost any town. The places in Mitty’s Waterbury are commonplace and dull: a hairdresser’s salon, a parking lot, Main Street, a grocery store, a hotel lobby, and a drugstore. In contrast, Mitty’s daydream settings are much more exciting: a Navy hydroplane in near-hurricane conditions, a hospital operating room, a courtroom, a World War I dugout, and the wall before a firing squad.  

There are several clues that place the story in the 1930s. In the story, a newsboy shouts about “the Waterbury trail.” Thurber is most likely alluding to the 1938 corruption trial of Waterbury’s mayor, Thomas Frank Hayes, and over twenty of his cronies. Later, in the hotel lobby, Mitty reads an old magazine with the headline “Can Germany Conquer the World through the Air?” In 1938, German troops invaded Austria and the Nazi persecution of Jews in Germany had greatly escalated. People were anxious about the likelihood of another world war.