The album's name is a reference to the love interest in Miguel de Cervantes' classic Spanish novel, Don Quixote.

"Windmills" is a metaphorical song about how people spend much of their lives chasing absurd or impossible pursuits (the allusion being to a specific scene in Don Quixote where the title character uselessly attacks a windmill).

The album's artwork (illustrated by artist Jason Holley) also explores Cervantes' windmill metaphor, depicting the incongruence between the way things are and how people tend to perceive them.

Glen Phillips has said that Dulcinea is probably his favorite Toad album because they started to know what they were doing but were not overthinking things yet.

[citation needed] Other tracks recorded during the album's 1993 sessions included "Crazy Life" (later released on the Empire Records soundtrack and remixed by Tom Lord-Alge for Coil) as well as an alternate take of "Reincarnation Song" and two tracks, "Hope" and "All Right" which would be released on In Light Syrup the following year.