This article shows that the process of ethnicity formation is a continual search by the Korean diaspora in Russia for ways to reduce the risks of social exclusion (discrimination) and to win trust from the host society. Previous studies on the Korean diaspora examine different interaction strategies of social integration of Korean immigrants into the host society. The interaction approach reduces social complexity to individual motivations, and these individual motivations combine to influence ethnicity of all Koreans in the diaspora even though individual motivations may have different economic, religious, moral, artistic, or political backgrounds. Yet the interaction paradigm fails to explain how ethnicity functions beyond interactions (negotiations) and how it applies to the Korean diaspora in Russia. It would be more productive to approach the Korean diaspora as a problem of social complexity. In this sense, the history of the Korean diaspora in Russia demonstrates that construction of ethnic boundary is a matter of social risk management. Generally speaking, the Russian Korean diaspora reflected the politicization of ethnic boundaries in the Soviet Union and post-soviet Russia. It means that relations between the Russian state and society and the Russian Korean diaspora change from conflict to cooperation and back, depending on trend of political power.