Harold Bloom says Don Quixote is the first modern novel, and that the protagonist is at war with Freud's reality principle, which accepts the necessity of dying.
Edith Grossman, who wrote and published a highly acclaimed English translation of the novel in 2003, says that the book is mostly meant to move people into emotion using a systematic change of course, on the verge of both tragedy and comedy at the same time. Grossman has stated:
The question is that Quixote has multiple interpretations [...] and how do I deal with that in my translation. I'm going to answer your question by avoiding it [...] so when I first started reading the Quixote I thought it was the most tragic book in the world, and I would read it and weep [...] As I grew older [...] my skin grew thicker [...] and so when I was working on the translation I was actually sitting at my computer and laughing out loud. This is done [...] as Cervantes did it [...] by never letting the reader rest. You are never certain that you truly got it. Because as soon as you think you understand something, Cervantes introduces something that contradicts your premise.
Jonathan Shockley has placed the novel in the context of Terror Management Theory, claiming that the figure of Don Quixote represents the hidden essence of human culture: the centrality of heroic madness and its related death anxiety in all people. The flimsy, delusional (and evil-causing) nature of the things that grant humans conviction and self-aggrandizement. And the ironic (and ultimately tragic) need to acquire this conviction and self-aggrandizement to experience the goodness, richness and reality of life.