A method of processing a wafer includes: a grinding step of grinding a back surface of the wafer to form, on the back side of the wafer, a recess corresponding to a device region and an annular projecting portion corresponding to a peripheral marginal region; and a splitting groove forming step of forming, after the grinding step is conducted, a splitting groove for splitting the device region and the peripheral marginal region from each other at the boundary between the recess and the annular projecting portion, the splitting groove extending from the front surface of the wafer to reach the back surface of the wafer. The splitting groove is formed by dry etching.