On Bloody Sunday 22 January (O.S. 9 January 1905), Annensky was part of a delegation who presented a petition to Russia's Minister of the Interior, drafted by Father Georgy Gapon, while a huge peaceful crowd gathered in the streets. After police had fired on the crowd, triggering the Russian Revolution of 1905, Annensky was arrested again and held for three weeks in the Trubetskoy bastion. During the revolution, he helped organise the 'Union of Unions' and became its chairman. He also became editor of the liberal journal "Russian Wealth" ("Russkoe Bogatstvo"). This was initially sympathetic to the PSR, but became increasingly opposed to its use of terror. In 1906, Annensky and other populists in the tradition of Mikhailovsky, such as A.V. Peshekhonov and V.A. Miakotin, broke with the PSR and founded the 'Popular Socialist Party' (NSP). Though numerically small, this party played an important role in the tsarist Duma, where it collaborated with the liberal Ka-Dets and the Labour or Trudovik party of A.F. Kerensky. The Popular Socialists also played an important role in the Provisional Government of Kerensky following the February Revolution of 1917. Annensky did not live to see this; he died in 1912 in Kuokkala, Finland.