This chapter looks at Friedrich Nietzsche’s use of nightmares in his literary work Thus Spoke Zarathustra. The story is known by Nietzsche scholars to illustrate Nietzsche’s thought in veiled and symbolic form. The chapter reads the odyssey of Nietzsche’s prophet Zarathustra alongside Nietzsche’s own critiques of his contemporary society, which was charged with a resurging interest in Protestantism. This return of Protestantism in the latter part of the nineteenth century was a nightmare to Nietzsche, and it haunts his main protagonist as well. Zarathustra’s main goal in the epic is to dismantle it, to overturn Christian piety. Yet, the prophet swiftly discovers that his anti-Christian posture folds upon itself. Zarathustra realises that he too bears much of the religiosity he attributes to the Christ-followers. Zarathustra’s nightmares become signposts which direct Zaratustra along his quest to reconcile himself with his hypocrisy. Recognizing his own bent towards piety, Zarathustra’s campaign to de-Christianize his age, becomes a campaign to accept himself and the world in all its imperfections.