This article describes the role Don Quixote plays as a character and as a novel in Nietzsche’s work. Against the background of German romanticism’s reception of the novel, and by identifying the status of the novel, its characters, its author (in his duplicity) and its reader, I argue that Don Quixote plays a problematic role in Nietzsche’s writings: his character is at once the paradigm of the metaphysical individual caught in metaphysical illusions, the mocked receptacle of the ressentiment of readers and of Cervantes himself, but Don Quixote also represents the experience of a deep suffering (which I call “transcendental”), revealing the world outside the simulacra of metaphysics. This investigation leads us to draw parallels between Don Quixote and Christ, but also Zarathustra, and to rehabilitate a certain form of suffering, inherited from a certain understanding of Christ, in the work of Nietzsche.