In this thesis I set out to write the first in-depth study of Pessoa's detective stories. I approached this task in three steps: firstly, by tracing Pessoa's interest in the genre of crime fiction, his readings and influences. Secondly, by analysing the themes and structure of the Quaresma stories. Thirdly, by placing them in the context of Pessoa's written output. The first step is addressed in the first two chapters of the thesis, where I study the connections between Pessoa and Anglo-American detective fiction, as well as how he adapted foreign models to a Portuguese context. The second step of my approach is developed in chapters 3 to 5. In the first of these I focus on the construction of Quaresma as a literary character. My key finding is that the texts featuring him are composed by two kinds of writing: on the one hand narrative prose, including descriptions, actions and elements that further the plot; on the other, an essayistic prose which consists of Quaresma's long speeches expounding his theories on criminal investigation, philosophy, psychology, and reasoning. Chapters 4 and 5 study several of the Quaresma stories from the point of view of gender relations and how these shape the construction of plot and character. At this juncture I use Lacanian and Derridean readings on Poe's 'The Purloined Letter', having previously established that author's influence on Pessoa. The third and final step of my thesis is an attempt to interpret Pessoa's detective fiction in relation to his wider work: I propose a reading of the Quaresma stories, other prose texts and heteronymity as parts of a literary project of creating non-narrative fictions.