In this article, I provide an analysis of the widespread, intellectually fascinating, and existentially challenging phenomenon of self-reflexive anxiety in which we feel threatened by what or who we are (or have been or will become). I focus on those cases in which we take an event or action whose possible occurrence we attribute to ourselves to be expressive or constitutive of our identity. As I argue, depending on the kind of event we are dealing with, our descriptive self-conception, our self-esteem, or our evaluative self-conception are at stake. In all cases, we are confronted with a dialectic between self and other, activity and passivity inherent in our personhood or even in our agency. I demonstrate how my analysis is not only of intrinsic value, but it can also help us in achieving a better understanding of self-reflexive emotions in general and ‘traditional’ self-reflexive emotions like shame in particular.