Lost in La Mancha is a 2002 documentary film about Terry Gilliam's first attempt to make The Man Who Killed Don Quixote, a film adaptation of the 1605/1615 novel Don Quixote by Miguel de Cervantes. The documentary was shot in 2000 during pre-production and filming and it was intended as a "making-of" documentary for the film. However, Gilliam's failure to complete his film resulted in the documentary filmmakers retitling their work as Lost in la Mancha and releasing it independently.

Written and directed by Keith Fulton and Louis Pepe, Lost in La Mancha presents Gilliam's effort to make Don Quixote as a parallel to Quixote's quest to become a hero. It co-stars Johnny Depp, Jean Rochefort, and Vanessa Paradis, who were cast as stars for The Man Who Killed Don Quixote. It is narrated by Jeff Bridges.

Gilliam ultimately succeeded in making The Man Who Killed Don Quixote, which was released in 2018. Fulton and Pepe have made a follow-up documentary, titled He Dreams of Giants, which covers Gilliam's entire scope of work on the Quixote project.