Don Quixote and Sancho Panza leave La Mancha because Don Quixote has read chivalric romances that make him want to right all the wrongs in the world. As Cervantes writes:

In short, his wits being quite gone, he hit upon the strangest notion that ever madman in this world hit upon, and that was that he fancied it was right and requisite, as well for the support of his own honour as for the service of his country, that he should make a knight-errant of himself, roaming the world over in full armour and on horseback in quest of adventures, and putting in practice himself all that he had read of as being the usual practices of knights-errant; righting every kind of wrong, and exposing himself to peril and danger from which, in the issue, he was to reap eternal renown and fame.

Don Quixote goes insane reading the chivalric romances of his time, and his brain is so addled that he sets out to become like the knights-errant he has read about. His goal is to correct the wrongs of the world and to win honor and glory for himself. Sancho Panza, for his part, accompanies Don Quixote because he hopes to get money from Don Quixote, even though he knows that Quixote is insane and delusional.

In this sense, Don Quixote does not go on a typical hero's journey (such as that in Homer's Odyssey), which involves not only leaving home but also undergoing a kind of transformation. As conceived by Campbell and others, the hero's journey includes not only a call to adventure but a crossing into a supernatural frontier and a trial that results in a kind of change or rebirth. While Don Quixote and Sancho Panza go on a journey, they are not transformed by their ordeals.

It is only at the very end of the book that Don Quixote realizes that he has labored under a delusion about his capacity to be a hero; however, he makes this realization just before his death. He is sickened by his inability to achieve the unrealistic dreams he wanted to make reality. Cervantes writes that Don Quixote's friends believe Quixote suffers from "grief at finding himself vanquished, and the object of his heart, the liberation and disenchantment of Dulcinea, unattained." Don Quixote fails to free Dulcinea, and he is not able to truly experience a rebirth or transformation in a way that affects or betters his life. He says at the end of the book, "Now I see through their absurdities and deceptions, and it only grieves me that this destruction of my illusions has come so late that it leaves me no time to make some amends by reading other books that might be a light to my soul." In other words, though Don Quixote realizes that reading chivalric romances has destroyed his mind and that these books are not good for him, he has no time to read other books to compensate for his mistakes. He dies still unfulfilled.