Fulton and Pepe intended to make a television documentary about the development and pre-production of Terry Gilliam's long-awaited passion project. They had no idea that the story would develop into its own quixotic tragedy. After the project failed, Fulton and Pepe were wary of finishing their film until Gilliam said "someone has to get a film out of this. I guess it's going to be you."
On June 4, 2017, Terry Gilliam announced that production of The Man Who Killed Don Quixote had finally wrapped. A few days later, he jokingly posted on Facebook that he had accidentally deleted the film.