We obtain a new square function characterization of the weak Hardy space H p,∞ for all p ∈ (0, ∞). This space consists of all tempered distributions whose smooth maximal function lies in weak L p . Our proof is based on interpolation between H p spaces. The main difficulty we overcome is the lack of a good dense subspace of H p,∞ which forces us to work with general H p,∞ distributions.