This study emphasizes that Nietzsche was not finished as a thinker when he collapsed in early January 1889. It is unlikely that he would have returned to and continued Thus Spoke Zarathustra, but he considered publishing the fourth part (which had not yet been published) as a bridge between Zarathustra and the unfinished Revaluation of All Values. More importantly, during his last years he worked hard on revaluing values, often in line with what he had written in Thus Spoke Zarathustra. This present study performs detailed analyses of Nietzsche's texts and late notes to examine the direction of that unfinished work; it will function as a stimulus to further research on the direction, interpretation and consequences of Nietzsche's late thought.