This chapter makes the case that the core of the modern social science can be viewed as always already imbued with a “tragic vision,” by reading Weber and neo-Weberian theory. It asserts that at the core of social science is the grappling with the fact of suffering resulting from modernity. It then moves on to consider the linkages between theodicy and tragic thinking and how that has informed recent scholarship in the social sciences, underscoring the Nietzschean legacy in Weberian thought. In detailing recent theoretical developments in social theory, medical anthropology and urban sociology, the chapter emphasizes the significance of this line of tragic thinking as it pertains to the social-scientific notion of “structure,” drawing on the example of poverty and gender in the context of state-based welfare.