Focusing on the European margins of the former Russian Empire as it was reinvented by the Soviets and drawing on the central and local archives of the former Soviet Union, this article uncovers a particular construction of territorial sovereignty that emerged from interactions between countries that were both new and ideologically hostile to one another. It shows that although Soviet authorities adapted to the rules of negotiation necessary for the “co-construction” of a frontier, they gradually managed to affirm an exclusive sovereignty over the territory. The thick border that evolved between mutually suspicious neighbors, especially through the creation of buffer zones, was subsequently institutionalized and appropriated by the Soviets in order to control interactions and border crossings. This analysis of everyday life in these border zones offers new perspectives for a transnational history of the state.