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In this contribution we take a psychoanalytic look at the novel The Ingenious Gentleman Don Quixote of La Mancha by Miguel de Cervantes Saavedra. We follow the clinical adventures of Don Quixote and the diagnostic interpretations he comes across on his journey. We discuss a number of psychoanalytic case formulations that situate the knight in the realm of psychosis and that endeavour to construct the clinical logic of his adventures. Via a discussion of Lacan’s remarks on bovarysm and a consideration of the relationship between literature and psychoanalysis, we come to a second section, where we find our knight again, now no longer as a model of madness, but as a paragon of normalcy. Here Don Quixote has become a paradigmatic example of the way human identity and subjectivity are rooted in narrative and fantasy. Here each one of us becomes a Don Quixote, wandering through the world, guided by delusions and misapprehensions. We conclude with an examination of the way in which the fiction of psychoanalysis relates to the fiction of the subject. Here we encounter the psychoanalyst as a Don Quixote.