Saul Bellow's books are usually intellectual examinations of human nature and human error. However, Bellow did write one indisputably Romantic work, Henderson the Rain King, which contains most of the tropes associated with Romanticism.
Romanticism in the literary genre (not to be confused with Romance, a genre focused on love and relationships) generally contains a positive view of human and natural foibles, the intense emotion of nature and man's place in it, high adventure, and a main character who is disillusioned or dispossessed from modern society.
Henderson, the novel's protagonist, is a rich man with no purpose in life. He drinks too much, reads books without understanding, and fights with his wife. In a fit of wanderlust, Henderson travels to Africa, where he befriends two indigenous tribes, attempting to use his strength and modern sensibilities to help them. He fails with the first, succeeds with the second, but falls prey to the gap between their cultures; he cannot reconcile himself with their beliefs, but he does succeed in understanding and accepting himself better. His adventures in Africa are crucial to his growth; his friendship with the second tribe's king allows him to step outside his own ego. Although the novel takes the form of a comedy, the plot events are Romantic in their nature, as is Henderson's reactions and realizations.