The aim of the paper is to analyze the methodological significance of philosophical and religious views of S. Kierkegaard for psychology. The author analyzes Kierkegaard’s view of Cartesian philosophy as a foundation for empirical psychology of consciousness and ensuing psychophysiological approach to the study of human mind. The role of Kierkegaard in reviewing the subject matter of psychology as a science and in development of qualitative methodology is revealed. Kierkegaard’s concept of individual is scrutinized. He understands individuality as a “qualitative distinctness” gained in the process of a moral choice between oneself and the world (“death for the world”) experienced as “jump into nowhere”. For Kierkegaard, human being is, first of all, a living entity, whereas cognition is of secondary importance. Thus, the central theme of psychology is individual Self in its development, rather than consciousness, and the central problem is that of freedom. The way towards the development of individuality goes through the domain of the conventional and involves finding agreement with the latter. The solution of this task results in the individual either remaining an “accidental exception” which has no influence over the development of conventions, or becoming a “grounded exception” by vindicating oneself in the face of conventions and engage in work on universal tasks. The Kierkegaardian view on the role of society in individual development is compared to that of Enlightenment philosophers and Russian psychologists, particularly, L.S. Vygotsky. The paper traces the influence of Kierkegaard on the ideas of Western and Russian 20^th-century psychology.