In a Riemannian context, a description is given of the Penrose correspondence between solutions of the anti-self-dual zero rest-mass field equations in a self-dual Yang-Mills background on a self-dual space X, and the sheaf cohomology groups
H
1
(
Z, OF
(
n
)), for
n
≤ -2of its twistor space
Z
. The case
n
= - 2 is fundamental for the construction of instantons on Euclidean space. It is further shown how
H
1
(
Z, OF
(-1)) corresponds to solutions of the self-dual Dirac equation, and an interpretation for
H
1
(
Z, OF
(
n
)), for
n
≥ 0, is given in terms of the cohomology of an elliptic complex on
X
.