Jung's dream of the killing of Siegfried poses a riddle: why did the unconscious choose precisely Siegfried as the hero to be murdered? Jung himself declares that he does not know. This paper attempts to decipher this riddle using three distinct methodological approaches accepted by Jung, two of them in fact grounded in his theories of dream interpretation. Besides presenting some possible answers to the riddle of Siegfried, this interpretative reflection brings to light the discrepancy of the psychological perspectives created by the heterogeneity of methods within analytical psychology.