There are old ambiguities regarding the concept of “Methodological Individualism” (MI). On the one hand, in various analyses in the social sciences, the term “individualism” takes emotional connotations. Superficially viewed, individualism becomes the synonym of egocentrism, with the tendency to evaluate the individual above “society” and to promote in society values antagonical to social solidarity and cohesion. On the other hand, departing from a series of scientistic analogies, the individual is conceived as an instrument (or organ) of superindividual mechanisms and processes produced and reproduced according to sui generis patterns. This article tries to make evident the fact that the scientific endeavour of “macro”-behaviouristic-empiricist paradigms does not have a real basis because it is not grounded on the ultimate principle of society: human action. The emphasis of this article is on the perspective that the most systematic theory of the MI was formulated in the Austrian School of Economics tradition. The starting point of this theory is the insight that MI is the praxeologic principle which states that a priori, all the actions in society (and of society) are actions of real individuals and that these real individual actions compose complex social and economic facts that can be studied consistently only with the methods of praxeology and understanding (comprehension or “verstehen”). Ontologically, there is no other praxeological entity but the human individual; in other words, human individuals are the unique entities that can really action, and free will and consciousness are their natural attributes.