One of the hazards of the international marketplace is the availability of stars to keep financeers happy. In the case of The Man Who Killed Don Quixote, Jean Rochefort's ailments prevented him from riding his horse during the filming of Don Quixote, and the project was shut down in 1999. More than a decade later, Gilliam lost Depp (one of the stars who bailed him out on The Imaginarium of Dr. Parnassus when Heath Ledger died), but explains to Empire how Ewan McGregor stepped into Depp's role as a contemporary ad exec who travels back in time to meet Quixote, played by Robert Duvall.
For the real info on what Gilliam went through on the first go-round of Don Quixote, see the doc Lost in La Mancha. Truly painful.