“Marchers of Valhalla” is one of Howard’s James Allison stories. In these tales, a modern man recalls past eras of his life from which he has been reincarnated, over and over again. Howard borrowed this conceit from Jack London, who employed it in “The Jacket,” also published as “The Star Rover.” As “Marchers” opens Allison is living in early 1930s Texas, despondent over his prosaic, banal existence. He has no opportunity for adventure or heroism, as the frontier has been settled, the great wars fought. Moreover, he has lost his leg to a riding accident, perhaps a metaphor for modern man’s impotence. Howard describes the low hills of the Texas landscape as “a dreary expanse… checkered with sterile fields where tenant farmers toil out their hideously barren lives in fruitless labor and bitter want.”

Howard was working on a preliminary outline for the story in April 1932. The story was sent to Weird Tales, but rejected circa May 1932. We learn about the rejection in a letter (#208) To H.P. Lovecraft, on May 24, 1932:

I’m enclosing a rhyme induced by recent Asiatic affairs; no hurry about returning it. Wright rejected the antediluvian Texas story; not enough weirdness about it.

It was later submitted to Oriental Stories, but returned on March 7, 1933, claiming it was "too much supernatural".