This chapter explores the question, posed by Svetlana Boym in The Future of Nostalgia, ‘How can one be homesick for a home that one never had?’ Its focus is Woody Allen’s 2011 film Midnight in Paris, the director’s most overt and sustained meditation on nostalgia, and the most wooing. The film concerns a twenty-first-century Hollywood screenwriter, Gil Pender, who stumbles effortlessly through the space-time continuum to find himself (in both senses) among Gertrude Stein’s Lost Generation, a world he has always believed to be his spiritual home. Through Gil’s time-travelling odyssey, Allen probes the allure and the perils of nostalgia; he shows how nostalgia relies on impossibility or absence to feed it, to lend it piquancy and artistic efficacy. The chapter also examines the Lost Generation’s propulsive nostalgia which was spawned by a tremendous sense of rootlessness and flux, and why the Odyssey was a guiding text for expatriates like Joyce, Hemingway, and Fitzgerald.