Lost in La Mancha explores the reasons behind the failure of a movie named “The Man who Killed Don Quixote”. The first attempt to make the movie in Hollywood failed and therefore it had to be shifted to Europe, which meant cutting down on the overall budget of the film. However, the making of the film gets plagued by problems with actors such as health problems, schedule and date problems and conflict over the contract. Even the nature strikes out at the film and the locations create a problem. The film had a tight budget and there was a further reduction of the finances available. This documentary explores the frustration, disappointments and failures faced by the people, in particular Gilliam, in the making of the movie.