Challenging the contemporary belief that emotional damage invariably results from new religious movement (NRM) participation, this study shows that membership in and exit from a world‐rejecting NRM may initiate the development of increased reflexivity and a personal sense of self for some former members. Out of a sample of 23 former members, 12 participants were identified who report prior histories of “other‐directedness” and for whom exit from an NRM instigated a shift toward increased independence and individuality. Employing symbolic interactionist theories of self, this article conceptualizes the process through which these participants may be understood to have gained in reflexivity and personal autonomy. Four case studies demonstrate how the identity loss and uncertainty suffered following exit can “shock” former members into self‐awareness and reflexivity, instigating a period of active learning about personal emotions, thoughts, and beliefs that leads to the active construction of a stronger personal self.