The book provides a conceptual understanding of probability and its structure. It is intended to augment existing calculus-based textbooks on probability and statistics and is specifically targeted to researchers and advanced undergraduate and graduate students in the applied research fields of the social sciences, psychology, and health and healthcare sciences. Materials are presented in three sections. The first section provides an overall introduction and presents some mathematical concepts used throughout the rest of the text. The second section presents the basic structure of measure theory and its special case of probability theory. The third section provides the connection between a conceptual understanding of measure-theoretic probability and applied research. This section starts with a chapter on its use in understanding basic models and finishes with a chapter that focuses on more complicated problems, particularly those related to various types and definitions of analyses related to hierarchical modeling.