Some background: John Watson's wife, Mary, was shot in the first episode, and since then, and all throughout this episode, he's been seeing hallucinations of her. When he sees her, her purpose is either to act as his conscious, or to ease the pain of her death. During the end of the episode, John confesses to "Mary" that he cheated on her while she was alive, and we get this shot, which snaps us back to reality
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This shot is quite similar to Patrick Stewart's dagger soliloquy where he also talks to something that isn't there.

These 2 scenes use the same concept to convey 2 different thoughts. Both characters see something they desire, whether it be their wife or a dagger. However Watson uses his hallucination as a way of coping with his wife's death(also, Macbeth hallucinates voices following his murder of Duncan. This is interesting because while Macbeth is directly responsible for Duncan's death, Watson also blames himself for his wife's death, despite not being the killer). Shakespeare uses the hallucination as a way of showing Macbeth's hunger for power.
Watson is not the only one who hallucinates in this episode, though. A major twist in the episode is when it's revealed that Sherlock hallucinated a meeting with a woman who gave him a murder case while on drugs(everything she told him turned out to be true in real life though, which doesn't make sense). This is related to Macbeth because they both carry out real actions based off of fake things. In one variation of Macbeth, he literally follows the floating dagger to where he will murder Duncan. In Sherlock, this fake meeting is what starts him on a real case(And again, all the things the hallucinated woman told him were actually true, which doesn't make sense, but anyway). Another interesting comparison is that Sherlock's hallucination is caused by his desire to solve crimes, while Macbeth's is caused by his desire to commit crimes.
This theme of hallucination as a way of showing feelings and desires is prominent in this episode of Sherlock and the dagger soliloquy
I think your connection between the two is very relevant and interesting. I recently watched this episode as well and completely agree with this argument. I think the idea of desire is fascinating. Also, how Mary was literally saying things like “Im not real,” etc. yet she still remained there in John’s eyes and Macbeth questions if the dagger is really there as well when he says “ Or art thou but a dagger of the mind, a false creation” and he still tries to grab it etc. The only complaint I have is that we later find out that Sherlock wasn’t actually hallucinating the person.
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