In his classic Winter in the Blood, the Native American author James Welch (1940-2003) introduces his nameless hero as a lost person. His connection with his tribal roots and his past is known. His daily life is no more than flashes of broken memories about his dead brother and father. This disconnection with the past causes him to wander without an aim in his life. This lost hero struggles to survive by trying to have ties with the present through going to town, drinking, and having women; a way to avoid the identity headache. Yet, he is not able to construct his present as long as he has no past to rely on. In other words, it is impossible to create something out of nothing. After a lot of efforts, things change: the hero becomes part of what takes place in his environment, and finds himself involved in what is around him. This paper deals with how the nameless protagonist struggles in order to find his identity, which is important for any person to create the present and the future. In addition, it will address the changes that promise a new life for the hero at the end of the novel.