According to B. J. Herbison, attribution of “all your egg” to a passage from Don Quixote seems to have been an artifact of translation from the Italian:
If you look up the source of `don’t keep all your eggs in one basket’ in any standard source (such as Bartlett’s Familiar Quotations) you will find a citation like:
“It is the part of a wise man to keep himself today for tomorrow, and not venture all his eggs in one basket.”—Sancho Panza
Don Quixote (Part I, Book III, Chapter 9) by Miguel de Cervantes [1547-1616].
1662 G. Torriano Italian Proverbial Phrases
125 To put all ones Eggs in a Paniard, viz. to hazard all in one bottom.
The Concise Oxford Dictionary of Proverbs, John Simpson, Oxford University Press, 1982.
Thanks to B. J. Herbison at:
Miguel de Cervantes Saavedra was born 1548 (day unknown); died 23 April 1616 (according to wikipedia)
[Please note: I have not been able discover the name of the 1660’s text.
I did see a reference to “trust all one’s goods to one ship” but that points back to Torriano’s work.]