Pessoa was fascinated by the sexuality of the writers he admired, notwithstanding his continual disclaimers to the contrary. One of the representative books he owned on the topic was Walt Whitman's Anomaly (1913), with a note on the cover stating that ‘The sale of this book is restricted to Members of the Legal and Medical professions.’ Whitman's ‘anomaly’, according to this book, is homosexuality.

Pessoa believed that William Shakespeare's ‘abnormal inclinations’, as he put it in an unpublished list titled ‘Psychology of the author of Shakespeare's works’, were the same as Whitman's. He says as much in ‘Erostratus’ when he declares that both Shakespeare and Whitman were ‘paederasts, by the bye.’ In an unpublished piece on Shakespeare, he goes as far as to refer to him as the ‘Chefe dos pederastas’ [Master of pederasts]. In another, he lists Shakespeare's ‘sexual inversion’ among the dramatist's three ‘characteristic peculiarities’ (the other two being his ‘total mental indiscipline’ and his ‘duality of temperament’).

A more significant reference to Shakespeare's sexuality appears in a draft letter to William Smedley, ostensibly on the Shakespearean authorship problem: