"Dagon" is often not counted as one of Lovecraft's Cthulhu Mythos stories, but it is the first of Lovecraft's stories to introduce a Cthulhu Mythos element — the sea deity Dagon itself.
The creature that appears in the story is often identified with the deity Dagon, but the creature is not identified by that name in the story "Dagon", and seems to be depicted as a typical member of his species, a worshipper rather than an object of worship. Nor is it likely that Lovecraft intends "Dagon" to be the name used by the deity's nonhuman worshippers; as Robert M. Price points out, "When Lovecraft wanted to convey something like the indigenous name of one of the Old Ones, he coined some unpronounceable jumble".
Price suggests that readers of "The Shadow Over Innsmouth" may be mistaken as to the identity of the "Dagon" worshipped by that story's Deep Ones: in contrast to the Old Ones' alien-sounding names, "the name 'Dagon' is a direct borrowing from familiar sources, and implies that [Obed] Marsh and his confederates had chosen the closest biblical analogy to the real object of worship of the deep ones, namely Great Cthulhu."
Lin Carter, who thought "Dagon" an "excellent" story, remarked that it was "an interesting prefiguring of themes later to emerge in [Lovecraft's] Cthulhu stories. The volcanic upheaval that temporarily exposes long-drowned horrors above the waves, for example, reappears in "The Call of Cthulhu" (1926)". Other parallels between the two stories include a horrifying tale told by a sailor rescued at sea; a gigantic, sea-dwelling monster (compared to Polyphemus in each tale); an apocalyptic vision of humanity's destruction at the hands of ancient nonhuman intelligences; and a narrator who fears he is doomed to die because of the knowledge he has gained. S. T. Joshi and David E. Schultz call the latter story "manifestly an exhaustive reworking of 'Dagon'".
In "The Call of Cthulhu", one of the newspaper clipping collected by the late Professor Angell mentions a suicide from a window that may correspond to the death of the narrator of "Dagon".