The history of the making of this movie is ultimately more interesting than the movie itself. A disaster-prone adaptation of Don Quixote eventually gets made about a movie as a director sucked into the book's world. The script was rewritten, year after year, so it's surprising that the end result feels a little under-baked.
The film follows a director, Toby, who while filming the windmill scene from Don Quixote discovers a copy of a student film he made on the same topic. He goes in search of his actors, finds his lead has taken on the role permanently, and finds himself floating between reality and fantasy.
Toby is a fairly awful and destructive person, and to some extent the movie follows the trajectory of awful person gets a chance to look at his life. But that part isn't especially convincing. The movie is mainly notable for Jonathan Pryce's spirited take on Quixote, the decadence of the castle scenes, and the shifting realities. But while all these things are good on their own, they never quite fit into a cohesive drama. Joana Ribeiro is appealing as the damsel, but her motivations are murky and she always seems more plot device than fleshed-out character. And the ending is just lazy and unconvincing.
Parts of the movie are enjoyable, but at the end my reaction was a big "so what."