A gallant knight, In sunshine and in shadow, Had journeyed long, (2-4)
The knight has spent a lot of time searching. Moreover, his determination or perseverance knows no limits. The fact that he goes through "sunshine" and "shadow" suggests that nothing can deter him.
But he grew old— This knight so bold— (7-8)
The rhyme on "bold" and "old" is interesting. Boldness is related to perseverance. The knight boldly keeps looking for Eldorado, despite his advancing age. At the same time, his perseverance or boldness makes him "old." It destroys his strength, as we learn in the third stanza.
And, as his strength Failed him at length, He met a pilgrim shadow— "Shadow," said he, "Where can it be— This land of Eldorado?" (13-18)
The knight is so obsessed with finding Eldorado that he doesn't even care about his own health! His strength fails him—it sounds like he's dying—and yet, when he meets the ghost-like shadow, he still wants to know the whereabouts of Eldorado. It's hard to tell if this is a good thing or a bad thing.
"Over the mountains Of the Moon, Down the Valley of the Shadow, Ride, boldly ride," (19-22)
The shade's advice is strange. Hasn't the knight already boldly ridden all over the place searching for Eldorado? Was his perseverance not enough? Perhaps his perseverance was misplaced, or too much, and the shade is telling him this—in kind of a mean way.