I just finished Don Quixote yesterday, and I've been reading into the various interpretations of its meanings. One that I was considering, though I haven't really read up on it much, may be that Don Quixote himself is representative of the Spanish Empire in the decline of its power.
With him fantastically chasing things that cause him more harm than good, and trying to flex his power with ill-result, only to die a disenfranchised death, I believe Quixote very closely represents an empire in decline.
However, Spain's decline wasn't fully realized by this point, was it? If that's the case, could it be possible that Cervantes was predicting the fall of Spain from the status of super-power? I may be writing a paper based on this premise, so if anybody has any feedback about this theory, it would be greatly appreciated!