Long an icon of the American cultural tradition, Henry Thoreau has recently been welcomed into political theory as a theorist whose political writings go beyond the essays on resistance to government, and contain ideas deeply important for understanding the American contribution to democratic experience. I extend this new appreciation by showing how Thoreau presents a specific model of self-government, individual self-government, that occurs under the frequently irrelevant roof provided by liberal democratic state institutions. Thoreau's model of self-government imagines women and men who are largely free of, or indifferent to, the state; but fully involved in an everyday experience that is deeply political because it allocates values for the individual. Walden is, in this sense, less an escape from government than it is an escape to it. Thoreau spans the spectrum of political philosophy, from Socrates′ concern with justice in the individual, to Nietzsche's model of the self as a governable community, but Thoreau's work is unique, and distinctively American, in its model of a hard-headed individual self-government based upon an unsentimentalized natural world.