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When Snape learned that Lily Potter was in danger, he approached his enemy Dumbledore (remember, Snape was a Death Eater back then). In exchange for protecting Lily, Dumbledore asked for the loyalty of Snape.

But then, Dumbledore failed to protect Lily. It doesn't matter if it was Dumbledore's mistake or not, Lily was dead.

Why would Snape then give his loyalty to Dumbledore?

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    Well, it matters a little, because Lily didn't die because of anything Dumbledore did or neglected to do. If you're not of that opinion, consider that perhaps Snape was. – tobiasvl May 18 '17 at 18:40
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    Because Snape felt that Harry was his only remaining tie to Lily, and working with Dumbledore to protect Harry was his only remaining way of expressing his love for Lily, by honoring her memory. – Matt Gutting May 18 '17 at 19:20
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    Dumbledore did keep up his part of the deal. He hid the Potters. He did everything he could to keep them safe. Snape knew perfectly well what was at stake and that keeping them safe was not something you simply do with a flick of the wrist/wand. Even if ultimately Dumbledore’s protection failed, Snape knew he’d kept up his end of the deal. Are you seriously suggesting Snape should give his loyalty to Voldemort, who ruthlessly killed the love of his life despite his pleadings to spare her, over Dumbledore, who risked a lot for the sake of a lackey of his worst enemy? – Janus Bahs Jacquet May 18 '17 at 23:01
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    Even if Snape felt that Dumbledore failed to hold up his end of the deal, Snape would want to get back at Voldemort for the murder. Dumbledore was still the best person for that job. – Alarion May 19 '17 at 0:10
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    Expanding on @Alarion's comment, remember that Voldemort also had promised to leave Lily unharmed as a reward for Snape's services, but then killed her. – algiogia May 19 '17 at 9:07
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Because it wasn't Dumbledore's fault, and because he still loved Lily and wanted to do this in her memory.

No one was expecting Pettigrew's betrayal. Remember that it was Lily and James who made Peter the Keeper a few days before the attack. Dumbledore likely didn't know about this, and even if he did, it seemed a reasonable choice at the moment.

As to why he continued to work for Dumbledore, this is the moment when Dumbledore asks Snape to help him protect Harry:

“And what use would that be to anyone?” said Dumbledore coldly. “If you loved Lily Evans, if you truly loved her, then your way forward is clear.”

Snape seemed to peer through a haze of pain, and Dumbledore’s words appeared to take a long time to reach him.

“What — what do you mean?”

“You know how and why she died. Make sure it was not in vain. Help me protect Lily’s son.”

“He does not need protection. The Dark Lord has gone —”

“The Dark Lord will return, and Harry Potter will be in terrible danger when he does.”

There was a long pause, and slowly Snape regained control of himself, mastered his own breathing. At last he said, “Very well. Very well. But never — never tell, Dumbledore! This must be between us! Swear it! I cannot bear . . . especially Potter’s son . . . I want your word!”
Harry Potter and the Deathly Hallows, chapter 33 "The Prince's Tale"; emphasis mine.

So Dumbledore offered Snape to preserve Lily's legacy, as this is what Snape saw Harry as - Lily's child. Not James', but Lily's; a way to honour her, and a way for him to remember her, by keeping a piece of her nearby. Remember this iconic tearjerker scene:

“But this is touching, Severus,” said Dumbledore seriously. “Have you grown to care for the boy, after all?”

“For him?” shouted Snape. “Expecto Patronum!”

From the tip of his wand burst the silver doe: She landed on the office floor, bounded once across the office, and soared out of the window. Dumbledore watched her fly away, and as her silvery glow faded he turned back to Snape, and his eyes were full of tears.

“After all this time?”

“Always,” said Snape.
Ibid; emphasis mine.


In the films, Dumbledore additionally says "If you truly loved her..." which seems to swing Snape to his side (starts at 2:43):

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    @I Love You Here is your explanation. Do not think that people cannot be many things. Snape was honest and honourable within his own definition. He wasn't a liar and he did what he said. Look at his promise to Narcissa Malfoy. He kept his word. – WRX May 18 '17 at 19:08
  • @Willow Narcissa Malfoy had made an unbreakable vow with Snape. It wasn't a normal promise. Snape had no choice at all. Not to mention, he notified Dumbledore about this thing. – Captain Cold May 18 '17 at 19:18
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    It's not a deal like a business deal. It's an arrangement he made to express a love which was inexpressible in any other way. To back out of the deal, in Snape's apparent view, would be to deny his love for Lily. – Matt Gutting May 18 '17 at 19:23
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    Dumbledore definitely didn’t know that Pettigrew had been made secret keeper, against the original plan; otherwise, it would have been clear from the beginning who had been the traitor (and that it had not been Sirius Black). – chirlu May 19 '17 at 12:31
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    "Dumbledore likely didn't know about this, and even if he did, it seemed a reasonable choice at the moment." Dumbledore didn't know about this. Otherwise, he'll know Sirius is innocent before book 3. – neverendingqs May 19 '17 at 15:52
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I think something that is not expressed in Gallifreyan's excellent answer has to do with Snape's relationship with Voldemort.

Snape's loyalty to Voldemort was never as deep as his loyalty to Lily. Since Snape was always primarily on Lily's side, Voldemort's ambitions to harm Lily drew a line in the sand that Snape could not cross. He would certainly never return his loyalty to the one that murdered Lily. Dumbledore knew this and therefore knew he could always trust Snape so long as Dumbledore himself remained on the side of Lily and company.

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    This also explains why Snape was able to deceive Voldemort while so many others failed: Voldemort did not understand love. He was aware that Snape felt something for Lily, but he underestimated it and what it could drive Snape to do. – anaximander May 19 '17 at 8:53
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People don't always keep promises purely out of obligation. He could have not helped as Dumbledore had failed, but it was never a 'contract'. If Snape had refused to help, Dumbledore wouldn't have let Lilly die. Or out of revenge, after Lilly died they both wanted to do the same thing, kill Voldemort.

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Because until this point Snape saw Voldemort as power - he didn't understand the difference between Good and Evil (or specifically didn't understand the 'Magic' of Love). Such a powerful experience as losing Lily, whom he loved deeply, allowed Snape to feel proper remorse.

Through proper remorse and the power of love, Snape's loyalties changed from the (what he now recognized as) flawed ways of Voldemort, to the selfless side of 'love'; Dumbledore.

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