Pan's Labyrinth draws from many myths and legends, and creates a few of its own, but there is a definite parallel between the film and the legend of Theseus, who found the center of the Crete labyrinth and killed the Minotaur. Ofelia, the protagonist in Pan's Labyrinth, must travel between worlds and navigate a mental labyrinth to find her own minotaur, represented by Captain Vidal, her stepfather.
Another similarity is the use of magical or specifically relevant tools and artifacts. Theseus, although ostensibly stripped of weapons, was able to escape using a ball of string, for navigation, and a short sword, to kill the minotaur; Ofelia is given several objects to help complete her tasks -- magical stones, a mandrake root, a key -- and uses them in different ways. She is unable to kill her own minotaur, but sets up his destruction by others with her courage and refusal to hurt an innocent baby. In a way, the baby itself, which Captain Vidal wants as an heir, is Ofelia's sword; if he had not followed her, he might have escaped capture.