Escapism is mental diversion from unpleasant aspects of daily life, typically through activities involving imagination or entertainment. Escapism also may be used to occupy one's self away from persistent feelings of depression or general sadness.
King Ludwig II of Bavaria was famous for his escapism, which involved his admiration for the work of Richard Wagner. In this caricature, he is portrayed in the role of King Lohengrin.
In psychology, fantasy is a broad range of mental experiences, mediated by the faculty of imagination in the human brain, and marked by an expression of certain desires through vivid mental imagery. Fantasies are generally associated with scenarios that are impossible or unlikely to happen.
Psychic mystery by Margret Hofheinz-Döring
Rêverie (Daydream), 1901, by Paul César Helleu