The aim of the article is to discuss Weber's dilemma of methodological individualism: the question of the relationship between Weber's interpretive sociology and his substantive sociological research. The author of the article aims, first, to deny the dilemma of methodological individualism by claiming that the contradictions between Weber’s methodological principles and his research practice are superficial. Second, the author argues that, contrary to the Schluchter's idea, Weber’s ‘interpretive sociology’ does not acquire its final form after the ‘second breakthrough’. The author attempts to delineate the ‘third breakthrough’ in the last decade's works of German sociologist, which leads towards sociological action theory. Thirdly, the author attempts to reconstruct Weber’s action theory while critically evaluating the works in this area. Finally, the author discusses the question whether the third Weber’s breakthrough can be finalized in such a manner that the resulting action theory would be satisfactory in relation to the initial tasks.