Early twentieth century was the time of change, industrialization, urbanization, and World War I, all of which changed the world forever. These significant events reflected upon the United States as well as on the American spirit, the old values of the American Dream. Postwar years, together with prohibition and immigration, were hard for the American society. Authors such as F. Scott Fitzgerald and Ernest Hemingway managed to describe those years of change each in their own unique way. Characters in their novels The Great Gatsby and The Sun Also Rises are a great representation of those turbulent years. Through the characters in their stories, it is evident that the American people lost what was once familiar to them and are in pursuit of some new values. This paper will focus on the characters of Jay Gatsby and Jake Barnes. The analysis will include the examination of Jay as a self-made man, a believer in the Dream who ended tragically, and Jake as a representative of the Lost Generation, of people scared by the violence of the war. Both characters try to form new identities because things they valued before cannot survive in the modern world that the United States was now a part of.