“Winter Dreams” is set in Minnesota and New York in the decades before and after World War I (roughly 1900s to 1920s). The story opens at the fictional Sherry Island Golf Club in Minnesota where Dexter is a caddy for the wealthy white residents of Black Bear, Minnesota. In "Winter Dreams" (as in many of his stories and books), Fitzgerald is very attentive to class dynamics between the characters in this story. For example, after spending so much time around wealthy men, the young Dexter develops “winter dreams” of growing up and becoming a successful businessman like them, which he is eventually able to do.
Fitzgerald pays close attention to the seasons in his story, making clear how hopeful and alive Dexter feels in summer versus how “melancholy” he feels in winter. Dexter ends up mirroring this sort of seasonal cycling in his relationship with Judy, which cycles between extreme euphoria (when she shows him affection) and immense despair (when she inevitably leads him for another man). It is only at the end of the story that he is finally able to let go of his “winter dreams” after realizing that the youthful and vivacious Judy he once desired is no longer available to him.
It is notable that the final section of the story takes place during the Roaring Twenties. This post-war period was known for it decadence and hedonism, especially among the white upper class. Though the formerly middle-class Dexter ends the story in these sorts of wealthy social circles in New York in the 1920s, he is not happy. He has strived to attain the American Dream for so long and yet remains dissatisfied because he has been unable to let go of constantly striving for something better. With this choice, Fitzgerald is subtly suggesting that the upper-class Americans living lives of pleasure during the Roaring Twenties (when he wrote the story) are actually far from contented.