This article discusses relations among the multiple levels of analysis present in macro-sociological explanation—i.e., relations of individual, structural, and institutional processes. It also criticizes the doctrinal insistence upon single-level individualistic explanation found in some prominent contemporary sociological theory. For illustrative material the article returns to intellectual uses of Weber's “Protestant Ethic thesis,” showing how an artificial version has been employed as a kind of proof text for the alleged scientific necessity of individualist explanation. Our alternative exposition renders the discussion of Protestantism and capitalism in an explicitly multilevel way, distinguishing possible individual-level, social-organizational, and institutional linkages. The causal processes involved are distinct ones, with the more structural and institutional forms neither captured nor attainable by individual-level thinking. We argue more generally that “methodological individualisms” confuse issues of explanation with issues about microfoundations. This persistent intellectual conflation may be rooted in the broader folk models of liberal individualism.