ABSTRACT Struck by essentialist and anti-essentialist elements in his writings, Nietzsche’s readers have wondered whether his conception of the self is incoherent or paradoxical. This paper demonstrates that his conception of the self, while complex, is not paradoxical or incoherent, but contains four distinct levels. Section I shows Schopenhauer as Educator to contain an early description of the four levels: (1) a person’s deepest self, embracing all that cannot be educated or molded; (2) a person’s ego; (3) a person’s “ideal” or “higher self”; (4) a person’s “true self” or “true nature”. In the remaining three sections, I show that Nietzsche develops and enriches this conception, without ever abandoning it. Section II treats the fourfold conception as it appears in Human, All Too Human. Section III interrogates relevant passages in the Gay Science, showing that while Nietzsche speaks of artful self-fashioning (as Alexander Nehamas emphasizes), he also pays due regard to the sense in which we are not our own creations. Section IV turns to the “deepest” level of the self, consisting of motives and drives. Drawing primarily upon Daybreak and Beyond Good and Evil, I show that Nietzsche regards neither the drives nor their hierarchical ordering as things that we construct.