Most good stories start with a fundamental list of ingredients: the initial situation, conflict, complication, climax, suspense, denouement, and conclusion. Great writers sometimes shake up the recipe and add some spice.
Initial Situation
This is the story of a naval commander.
James Thurber tricks us in his opening paragraph; this sounds like a story of fantasy.
Conflict
It's actually the story of an ordinary man in conflict with the ordinary world around him.
This is the real heart of the story – Mitty's attempt to resolve his conflict. It's not exactly a typical "complication" to a typical "conflict." As you can see, this story doesn't really lend itself to typical plot breakdowns.
Complication
Mitty escapes into fantasy to deal with this conflict.
This is the real heart of the story – Mitty's attempt to resolve his conflict. It's not exactly a typical "complication" to a typical "conflict." As you can see, this story doesn't really lend itself to typical plot breakdowns.
Climax
There isn't really one.
Again, "Walter Mitty" is known for not subscribing to typical plot elements.
Suspense
What will happen to Walter Mitty?
If there is suspense in this story, it's this lingering question with which we are left at the end of the tale. Is Mitty headed for some sort of psychological breakdown? Or are his fantasies just a harmless way of making his life more exciting?
Denouement
Mitty faces the firing squad.
This is Walter's last fantasy and does indeed have a sense of finality or falling action, as opposed to his other fantasies which are full of action of drama.
Conclusion
"…inscrutable to the last."
You can read "What's Up With the Ending?" for more discussion, but there are two basic ways of thinking about this conclusion. The first is that Walter is victorious in some way, and the second is that he is ultimately defeated.