Why do you think his real life and his imagined lives are so different (in other words, what is the author trying to tell you about his life/lives)?

Walter Mitty has a "secret life" not simply because he is an imaginative fellow, but because he is an unhappy man. Though we begin the story in his imagination and follow his fantasies over the course of the narrative, we learn not just about what the man can think up and desire, but also that from which he wants to flee: his nagging wife, his humdrum day-to-day existence, his social ineptness. That his imagination is so constituted means that while it gains strength in inverse proportion to the embarrassment and frustration he feels in "real life," it is also limited by the gaps he has to fill up in the latter. Mitty invents specific stories in order to escape from specific frustrations in his life.