By 331 B.C. Alexander the Great had reached Egypt and brought it under his control. He already had a string of incredible military victories to his credit, including those at Granicus, Issus, and Tyre. He must have sensed, in the marrow of his bones, that he possessed some indefinable quality that separated him from other men.
This knowledge both exhilarated and perturbed him, however; he was not sure how far his abilities stretched, and he was hounded by doubts about his origin and destiny. So it was during this Egyptian interlude that Alexander embarked upon one of the most bizarre and significant episodes of his career. He decided, to the dismay of his officers, to trek through the Libyan desert and consult the fabled oracle of Zeus-Ammon on these existential questions about his life and fate.
Before proceeding further here we should explain a bit more about this Libyan oracle. To the Greeks, Zeus was the king of the gods; his Roman equivalent was of course Jupiter. The Egyptians had their own complex pantheon of gods, and their rough equivalent of Zeus was Amun, or Ammon. Syncretism is common when religions come into contact with each other; and soon a commonly-accepted hybrid god emerged from these elements, called Zeus Ammon (or Jupiter Ammon). In statuary he is often represented with horns. In the ancient world, gods spoke through the intermediaries of oracles, which were supposed to have special connections with their sponsoring gods. The oracle of Zeus Ammon was located at an oasis deep in the parched wastelands of the Libyan desert. Today it is called the Siwah Oasis, and it is found in the northern Sahara, on the Egyptian side of the border between Egypt and Libya.
So Alexander, guided by some internal navigation, resolved to visit this oracle. He could not be persuaded to abandon the project. As Thucydides has said,
In a word it is impossible (and only the most simple-minded will ever deny this) for human nature, when once seriously set upon a certain course, to be prevented from following that course by the force of law or by any other means of intimidation whatever. [III.45]
The Roman historian Quintus Curtius, describing this incident in some detail in his history (IV.7), says that Alexander was stirred by a great longing to carry out this spiritual visitation. He says,
Sed ingens cupido animum stimulabat adeundi Iovem, quem generis sui auctorem, haud contentus mortali fastigio, aut credebat esse aut credi volebat.
This means, “But an immense yearning stimulated his intention to visit Jupiter, whom he—not content with the apex of mortal existence—either believed, or wanted others to believe, was the originator of his people.” The historian Arrian’s History of Alexander (III.3) says that the Macedonian king was “passionately eager” to visit the oracle, not only because it was reputed to be infallible, but also because Hercules and Perseus were supposed to have consulted it. In Alexander’s day, we should remind the reader, Hercules and Perseus were considered actual historical figures; we cannot be sure this is untrue. Arrian says that Alexander
[L]onged to equal the fame of Perseus and Heracles; the blood of both flowed in his veins, and just as legend traced their descent from Zeus, so he, too, had a feeling that in some way he was descended from Ammon. In any case, he undertook this expedition with the deliberate purpose of obtaining more precise information on the subject…
But the journey to the oracle was a terribly difficult one. The Macedonian first had to march two hundred miles along the coast to the city of Paraetonium. The country was desolate and uninhabited. He then turned south to the interior of the Sahara, and traveled through harsh and almost waterless wastes. It took four days to pass through this wasteland. Plutarch, who describes the journey in his Life of Alexander, says that two things made the journey especially arduous: the lack of potable water, and a strong south wind that could obscure vision:
The second [danger] arises if a strong south wind should overtake the traveler as he is crossing the vast expanse of deep, soft sand, as is said to have happened to the army of Cambyses long ago: the wind raised great billows of sand and blew them across the plain so that 50,000 men were swallowed up and perished. 
What made the journey especially difficult was the lack of geographical features to guide the Greeks; Arrian repeats a story that two snakes suddenly appeared, and guided the Greek party through the desert. A conflicting legend—one repeated by Plutarch—states that a few crows, not snakes, were the guides. Fortunately it also rained several times during the trek, a fact that Alexander and his men took full advantage of. Arrian does not doubt that Alexander had divine assistance in reaching the secluded oracle. The actual temple of Ammon, where the oracle was situated, was in the middle of a lush oasis lined with date palms and fruit trees, perhaps made possible by an underground aquifer.
In any case, Alexander reached the oracle and asked it the questions that had been oppressing his mind. We are not told the precise wording of the questions, or the exact responses; but apparently Alexander was satisfied with what he was told. Plutarch is confident that Alexander asked the oracle two questions. The first was whether the murderers of his father Philip had been punished; the second was whether he, Alexander, was destined to rule over all mankind. The oracle answered in the affirmative to both of these questions; and the grateful king deposited a generous donation with the priests of Ammon.
But this was not all. According to Plutarch, Alexander received other revelations from the priests which he told his mother in a letter that he would reveal only to her. One of these revelations seems to have been that he, Alexander, was in fact the son of Zeus. Whether this was a willful misunderstanding or a translation error with the priests is irrelevant. It was something that Alexander was more than willing to believe; and it was an idea reinforced by his attendance of the philosopher Psammon’s lectures in Egypt. “Even more philosophical,” says Plutarch, “was Alexander’s own opinion and pronouncement on this subject, namely that while God is the father of all mankind, it is the noblest and best whom he [God] makes especially his own.”
From this point Alexander not only considered himself the son of Zeus, but began, slowly and incrementally, to command others to refer to him in this way. We can even see coins and statuary today where Alexander is represents with the “horns of Ammon,” as a mark of his supposedly divine origin. Even the Arabs, centuries later, referred to him as dhu al-qarnain (ذو القرنين), or “the possessor of two horns.” The historian Quintus Curtius, being the level-headed Roman skeptic that he is, believes none of Alexander’s posturing about divine origins. He says (IV.7.30), “while he wanted to increase the fame of his deeds by this moniker [i.e., son of Zeus], he instead corrupted it.” He also says,
But Fortune makes those whom she has compelled to believe in Herself alone usually more avid for glory than capacious enough to handle such glory.
And so it turned out to be true. But what matters for our purposes here is that Alexander had an inner compulsion to discover what made him different from others. He was willing to plunge into the Sahara in search of answers to the questions that tormented him. He knew what his deeds had been, and was confident about what they would be in the future. There was a thirst for some awareness of his Ultimate Source. And I think all men are driven, to varying degrees, to understand their origins and purposes; it is a fundamental drive that cannot be escaped.
This drive springs, I think, from an unconscious desire to discover the nature of our inception, and to return to that origin by some inner process of enlightenment. All men search for that which created them, and breathed life into their limbs. All men are drawn to this perceived Source, this divine Creative Principle. The philosopher Plotinus (Enneads VI.9) thought that this hunger was akin to that of a lover seeking his beloved, or a lost child seeking a parent. He says, “A child, certainly, who is outside himself in madness will not know his father; but he who has learned to know himself will know from whence he comes.” But to achieve this Return, this Union, we must make an effort to turn away from the distractions and corruptions of the material world. For in this turning away is found the liberation of the soul.
Read more on this topic and related topics in the new translation of Cicero’s “On Moral Ends“: