With a focus on the question of anxiety, this article aims to investigate the connection between Weber's interpretation of Puritanism, and the modern theme of risk society. Weber shows that because of the religious anxiety of the uncertainty of salvation, Calvinists thus pursued the conviction of it. For Calvinists, to provide a firm foundation for the subjective certainty of salvation, faith had to be proved by objective efforts of labor. They had no other way to relieve that anxiety than as laborers rationally constructing the world and the self. The modern reconstruction of certainty contributed to the emergence of risk society which has paradoxically been producing new uncertainties which are nearly impossible to control. Along with these uncertainties, we must also confront new anxieties.