Winesburg, Ohio is most noticeably a series of short stories, each one capable of making sense if read by itself. Reading the book as a novel requites some imagination and a willingness to be loose with one's definition of just what a novel is.
There is a main character, George Willard, but his significance is based mainly on the fact that he appears in almost all of the stories. Often, he is not central to the story's action, but is just mentioned as someone that a central character has spoken with. If the reader accepts the fact that George's appearances must be more than a coincidence, then it would follow that the whole book is one continuous piece, with each independent story defining George and moving him forward toward some final resolution. The fact that George leaves town in the last story supports this reading. It seems to provide a climax to the book in general.