Origins of The Concept
The advice "Don't shoot the messenger" was first expressed (very obliquely) by Shakespeare in Henry IV, part 2 (1598) and in Antony and Cleopatra: when told Antony has married another, Cleopatra threatens to treat the messenger's eyes as balls, eliciting the response 'gracious madam, I that do bring the news made not the match'. Prior to that, a related sentiment was expressed in Antigone by Sophocles as "No one loves the messenger who brings bad news".
Plutarch's Lives has this line: "The first messenger that gave notice of Lucullus's coming was so far from pleasing Tigranes that he had his head cut off for his pains; and no man daring to bring further information, without any intelligence at all, Tigranes sat while war was already blazing around him, giving ear only to those who flattered him...".
An analogy of the phrase can come from the breaching of an invisible code of conduct in war, where a commanding officer was expected to receive and send back emissaries or diplomatic envoys sent by the enemy unharmed. During the early Warring States period of China, the concept of chivalry and virtue prevented the executions of messengers sent by opposing sides.
The term also applied to a town crier, an officer of the court who made public pronouncements in the name of the ruling monarch. This often included bad news, such as tax increases. Harming a town crier was considered to be treason.
Read more about this topic: Shooting The Messenger
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