This article seeks to explain why some high-capacity democracies have high levels of internal violence. These regimes present a puzzle: Why are bureaucratically capable states that ostensibly answer to voters failing to provide security? Challenging the “weak states” paradigm, we argue that states with high capacity and significant violence within marginalized populations exhibit a governance pattern in which governing factions deliberately weaken security services and collude with nonstate violent actors to maintain power and ensure extreme levels of privilege and impunity. Although these states do not feature ideal-type institutions, they are not weak. Instead, economic and political elites are complicit in enforcing a system of material inequality and uneven democratic incorporation maintained by violence. As politicized security agencies become incapacitated and repressive, citizens turn to nonstate security providers for protection, from private firms to criminals and insurgents, increasing social violence and obscuring the state origins of what we term privilege violence.