Peter LaSalle at The American Scholar:
Pessoa has a telling line in his sequence of poems “Slanting Rain” that provides a good way of approaching this: “I don’t know who I dream I am.” Zenith doesn’t reference it, yet I’ve always thought the quotation succinctly gets at the impetus behind Pessoa’s use of heteronyms, among them his three principal and stylistically distinct poetry-writing pseudoselves: Alvaro de Campos (a naval engineer by trade with a lyrical bent), Alberto Caeiro (a rustic and believer in the essence of nature), and Ricardo Reis (a doctor who produced philosophical Horatian odes). And, true, in the poetry there is often the dreamlike element of being “the other,” a ghostly, untethered feeling marked by searingly honest searching.
Pessoa possessed the longing of an experimenter aspiring to metaphysical insight. His impulse sprang not from any religious sensibility but from an awareness of the diaphanousness of reality around him—maybe a seascape or Lisbon street scene. He used poetry to tune in on something larger, akin to a Blakean or Borgesian understanding, beyond words.