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The dagger first appears to Macbeth floating before him; he seems convinced it is real so he tries to grab it. When he can't do so he ponders that it is a 'dagger of the mind' which has two distinct meanings: firstly, he recognises that it's imaginary,'of the mind'; secondly, the dagger is a sign of mental torment (later Macbeth complains to his wife 'full of scorpions is my mind' and it is the same idea, of a psyche wounded by a dagger or a scorpion's sting). So the dagger is deeply disturbing to him.
Secondly, the dagger begins to move towards Duncan's room as is shown when Macbeth says, 'Thou marshall'st me the way I was going'. The use of the word 'marshall'st' is interesting because it is as if the dagger is in control. Not for the last time Macbeth is completely under the spell of disturbing visions from a supernatural world. He is in Hell.
Thirdly the dagger begins to drip blood.This is clearly his conscience working with his imagination to force him to face the horror of what he is about to do. He dismisses the dagger from his sight saying 'There's no such thing' but he can't get rid of the horror of Duncan's murder from his mind. His thoughts turn to 'withered murder .....with his stealthy pace' a personification of the evil act which shows how shaken he is.
And yet he will still go ahead and kill Duncan; Lady Macbeth sounds the bell which stirs him to action. Macbeth says,
'Whiles I threat, he lives;
Words to the heat of deeds too cold breath gives'.
He will act even in the face of such nightmares; his words/thoughts only take away his courage to act. There will be no turning back now.
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