The main theme of Nietzsche’s first published work, The Birth of Tragedy (BT, 1872), is that the affirmation of life requires ‘illusion’ which allows us to cope with the ‘insight into the horrible truth’ of our condition. This article argues that Nietzsche held the same position in his later works: that illusion is a necessary to affirm life. The discussion is organized as follows. Section 1 sets out the core thesis of BT vis-à-vis the relationship between affirmation and illusion. Section 2 examines the role of illusion in one of Nietzsche’s litmus tests of affirmation found in The Gay Science of 1882, ‘amor fati’—that is, the ability ‘to see as beautiful what is necessary in things’. Sections 3, 4, and 5 consider Nietzsche’s understanding of ‘self-creation’ and how, through the employment of ‘distance’ and ‘pretence’, it engenders an affirmation of existence. Finally, Section 6 attempts a provisional assessment of Nietzsche’s conception of affirmation.