Character in a book by James Thurber, made into a film in 1947, The Secret Life of Walter Mitty.
It became a phrase to describe anyone who had (or told people they had) a secret identity or lived a double life, i.e. a 'Walter Mitty'.
Within select circles it formed the basis of the word/insult 'walt' - being someone who aspired to be Special Forces, though it has since mutated to mainstream usage and describes someone who pretends to either be in the forces, or to be something more daring than they actually are.
If you are interested in reading the short story, it's available to read here.