He next proceeded to inspect his [horse], which, with more quartos than a real and more blemishes than the steed of Gonela, that "tantum pellis et ossa fuit," surpassed in his eyes the Bucephalus of Alexander or the Babieca of the Cid.
Four days were spent in thinking what name to give him, because (as he said to himself) it was not right that a horse belonging to a knight so famous, and one with such merits of his own, should be without some distinctive name.
...he decided upon calling him Rocinante, a name, to his thinking, lofty, sonorous, and significant of his condition as a [horse] before he became what he now was, the first and foremost of all the [horses] in the world.
cervantes included several meta jokes in his famous novel, but he could not have planned for this one.
in this passage we have the delusional knight deciding his gaunt, malnourished horse should have a name worthy of his fame. so he names the horse 'rocinante', which roughly translates to "before all horses" or the "first of horses" because in don quixote's mind this horse would rival the great horses of history.
rocinante has since become one the most famous horses in history.