This paper analyzes the role played by Fechner's psychophysics—the new science meant to measure sensation as a function of the stimulus—in the development of Marburg Neo-Kantianism. It will show how Cohen, in the early 1870s, in order to make sense of Kant's obscure principle of the Anticipations of Perception, resorted to psychophysics' parlance of the relation between stimulus and sensation. By the end of the decade, Cohen's remarks encouraged the early 'Cohen circle' (Stadler, Elsas, Müller) to pursue what were often sophisticated analyses of the problem of the measurability of sensation. This paper argues that in reaction to these contributions, Cohen shifted his interests towards the history of the infinitesimal calculus in his controversial 1883 monograph, Das Princip der Infinitesimal-Methode. This book, with its characteristic amalgam of transcendental philosophy and history of science, paved the way to what, around 1900, would become the “Marburg school” (Natorp, Cassirer, Görland and others). However, it also interrupted a promising discussion in Marburg on the problem of measurability in science.