A shoe includes an outsole and a vamp, and a first opening is defined in the top of the shoe. A first connection portion is located along the periphery of the first opening. A water-proof sock is inserted into the first opening and has a second opening defined in the top thereof. A second connection portion is formed at the periphery of the second opening. The first connection portion is detachably connected to the second connection portion to secure the water-proof sock to the shoe. The water-proof sock can be removed from the shoe by separating the first connection portion from the second connection portion.