This novella serves as both a psychological description of the mind of a young woman, and an analysis of the traditional views of a society where she is a clear outsider. Henry James uses Daisy's story to discuss what he thinks Europeans and Americans believe about each other, and more generally the prejudices common in any culture. In a letter James said that Daisy is the victim of a "social rumpus" that goes on either over her head or beneath her notice.
The names of the characters are also symbolic. Daisy is a flower in full bloom, without inhibitions and in the springtime of her life. Daisy contrasts sharply with Winterbourne. Flowers die in winter and this is precisely what happens to Daisy after catching the Roman Fever. As an objective analogue to this psychological reality, Daisy catches the very real Roman fever, the malaria that was endemic to many Roman neighborhoods in the 19th century.
The issue on which the novella turns is the "innocence" of Daisy.