The present invention provides a gas generator in which no positioning device for a cylindrical filter is needed, and a method of assembling the gas generator.The inside of a combustion chamber is filled with a predetermined amount of a molded article of a gas generating agent in a state in which an outside positioning jig is disposed between a cylindrical filter and a circumferential wall portion of a diffuser shell, and an inside positioning jig is disposed between the cylindrical filter and an inner tube. Upon completion of the filling, the two positioning jigs are removed, and the molded article of the gas generating agent is pressed in by an annular underplate. The cylindrical filter is positioned by this pressing-in.