In his first compositional period, Liszt created a group of fantasies on famous operatic themes. The fantasies often derived from improvisations on the piano that sought to exert different emotional effects on listeners through the so-called “rhetoric of improvisation” as practised in the early 19th century. In order to understand the form of the genre, an analysis of fantasy cannot dismiss its improvisational origins and aims. Fantasy presents itself as a drama with a succession of different scenes. Liszt’s Réminiscences des Puritains and his Fantaisie sur des motifs de l’opéra La Sonnambula are exemplary models of this theoretic hypothesis. Moreover, their analysis with regard to the rhetoric of improvisation not only explains a series of formal ambiguities but reveals structural innovations that Liszt would later develop distinctly in his symphonic compositions.