This paper proposes a reflection on the construction of the Alexander Romance and its Egyptian “apocalyptic” literary roots. As pointed out by many scholars, many Egyptian influences can be felt throughout the Alexander Romance: the story begins with a portrait of the last native Egyptian pharaoh Nectanebo II, who is revealed as Alexander the Great's true father; and Alexander's arrival in Egypt is presented along the lines of an Egyptian motif of the saviour king. Interestingly enough, the figure of king Nectanebo plays a prominent role in another literary text known as Nectanebo's Dream, a fragmentary narrative conserved on a Greek papyrus from the second century BC (P. Leiden I 396), which can be completed by a handful of Demotic papyri (P. Carlsberg 424, 499 and 559). The story, as it can be reconstructed from these documents, belongs to the so-called apocalyptic or pseudo-prophetic Egyptian literature. Texts belonging to this kind of literature, for instance the Demotic “Chronicle”, the Oracle of the Lamb or (in Greek) the Oracle of the Potter, always follow the same narrative structure: a king who doesn't pay the proper respect to the gods is delivered a prophecy about future catastrophic events and the invasion of Egypt by foreigners (Persians, Greeks, Romans, etc.). These prophecies then advertise the return to stability through the advent of a saviour figure personified by a new king or priest. The Egyptian elements in the Alexander Romance, together with other Graeco-Egyptian pseudo-prophetic texts, have often been interpreted as the production of Egyptian “nationalistic” reactions against the various foreign invasions of their country, a form of “propaganda” and the expression of a long-standing conflict that pitted the native Egyptians against the Graeco-Roman settlers. This article propose to go beyond the potentially anachronistic category of “nationalism”, and to ask whether the legend connecting Alexander to Nectanebo might rather be interpreted as the result of the cross-cultural interactions of narratives and counter-narratives within the frame of a Late Egyptian historical theology demanding piety of pharaohs and adherence to the precepts of the divine law (Ma'at or Hp).