Being a peculiar thinker and understood as an out-sider, Lev Shestov is the creator of a genuine philosophy that comes to break thought to rebuild; that is to say, to lay the foundations of a philosophy with a tragic meaning that is opposed to all speculative and positivist thinking. The roots of this philosophy are found in the writing of Kierkegaard, among others. The Danish philosopher is a tormenting thinker who represents a decisive moment for his creation, because he returns to Shestov the hope that his philosophy of tragedy finds a basis in the existential philosophy The main focus in this article is to underline what Lev Shestov discovers reading Kierkegaard's work to support the development of the meaning of what he will call the philosophy of tragedy, or existential philosophy; a philosophy that is born in despair, in repetition, in the second dimension of thought; in anguish, in faith, and in revelation.