The narrative tradition of the Peninsular War tells us that the duke, as he crossed the rivulet that marks the Spanish-Portuguese border, shouted:
Farewell Portugal! I shall never see you again.
The expression appears for the first time, although simply Farewell Portugal, in the fifth volume of the classic work by Sir William Napier, History of the War in the Peninsula and the south of France:
«A grand design and grandly it was executed! For high in heart and strong of hand, Wellington’s veterans marched to the encounter, the glories of twelve victories played about their bayonets, and he their leader was so proud and confident, that in passing the stream which marks the frontier of Spain, he rose in his stirrups and waving his hand, cried out «Farewell Portugal!.»
This act seems not to fit with Wellington’s personality and the grandiloquence of Napier makes us at times suspect of its likelihood.
Watercourse near Castro de Alcañices, next to the Portuguese-Spanish border, in the path that connects Miranda do Douro to the river Esla.
(Photo: Paulino Preto)
Recently, following a discussion on the subject, Steven H. Smith, collaborator in the forum of the website Napoleon Series,indicated the work The life of Wellington: the restoration of the martial power of Great Britain, by Sir Herbert Eustace Maxwell (Bart.), where one can find explained the origin of the story and the source used by Napier.
It seems that the story was told to Napier by Sir Rufane Donkin, who heard it told by General Sir Thomas Picton, considered the truth in person. We leave here the quotation of the letter’s excerpt from Donkin to Napier:
«Picton told me a strange story. He was riding with Lord W. at the head of the advanced guard, when they crossed a rivulet which was the boundary of Portugal; on which Wellington turned round his horse, took off his hat, and said 'Farewell, Portugal! I shall never see you again.' This was so theatrical — so unlike Wellington — that I should say at once it cannot he true; but Picton, who told it me, was truth itself" (unpublished letter from Sir R. Donkin to Col. William Napier).»
Napier didn’t lose the opportunity to use the story to ‘gold plate’ his narrative and from there the episode appears described in the numerous biographies of Wellington, as well as in many other works on the Peninsular War.
(Text by Moisés Gaudêncio [read it in Portuguese] | translation by Jorge Quinta-Nova)
 History of the War in the Peninsula and the south of France, por Sir William Napier. 1836, Vol. 5, p. 513.
The life of Wellington: The restoration of the martial power of Great Britain por Sir Herbert Eustace Maxwell (Bart.). (4th edition, 1900), Vol. 1, p. 310.