In 2003, Zaentz was made a Fellow of BAFTA, in recognition of his film career. In 2004–05. Zaentz and partners sold Fantasy Records to independent jazz label Concord Records, and closed the Saul Zaentz Film Center. In 2005–06 Zaentz embarked on a new film project, Goya's Ghosts, centered on events in the life of Spanish Painter Francisco Goya, starring Natalie Portman, Javier Bardem, Stellan Skarsgård as Goya, and featuring Randy Quaid as the king of Spain. The film was made with long-time collaborators Miloš Forman (director) and Jean-Claude Carrière (screenplay). Shot on location in Spain and edited in New York, the film was released in late 2006.