The story's depicted relationship between both of them is one of leader and follower.  Quixote as the leader has his trusty Sancho to help him in his endeavors.  Sancho is shown to be round and wise, while Quixote is gaunt and idealistic. They both complement one another.  Thinkers like Carlos Fuentes in his work, The Buried Mirror, have gone a bit further in asserting the relationship between both.  Fuentes believes that the relationship between both characters helps to develop the composite view of what it means to be human.  Quixote believes in his ideals, while Sancho is looking for a place to sleep and good food.  Quixote sees the monster, while Sancho recognizes the windmill.  Quixote seeks to uphold the honor of a maiden who might not exist, while Sancho simply wants a good payoff at the end.  The relationship between both characters represents the dynamic of what it means to be human, to live for the promise of ideals while being chained to the reality of one's predicament.