Sigmund Freud felt very attracted throughout his life for the work of Miguel de Cervantes, coming to learn Spanish self-taught to read Don Quixote. However, Freud cited his work very little along his scientific production. Freud's references to Cervantes and his texts and characters come mostly from his voluminous correspondence. There are two revealing epistolary collections that can illuminate the subject that concerns us: a letters collection set to Martha Bernays during the period between 1882 and 1886 (The Bridal Letters), and another collection (1871-1881), known as The Youth Letters, linked to his friend Eduard Silberstein. All these mentions are limited to two Cervantine texts: Don Quixote and The Dialogue of the Dogs. Freud y Silberstein founded a literary secret society (“Academia Castellana”), and they are usually communicated in Spanish. This article examines the link between Freud and Cervantes and provide some details about the possible influence of the works of classical Spanish writer in the scientific contributions of the author of psychoanalysis. In some paragraphs of Don Quixote is found a clear Freudian symbolism, and throughout the exemplary novel The Dialogue of the Dogs, a methodological development of psychoanalytic interview as Freud raised almost three hundred years later.