Sense of agency refers to the subjective feeling of controlling one’s own actions, and through them, the external events. Sense of agency is integral to self-consciousness, and been the subject of numerous studies aimed at uncovering its underlying mechanism. However, the significance of the sense of agency in human behavior remains poorly understood. Is it simply a by-product of action, or does it play a causal role in our behaviors? This review first briefly summarizes the leading theories of the mechanism underlying the sense of agency and then discusses the ways in which it influences human perception and behavior. The sense of agency is not only a subjective feeling experienced during decision-making and action–execution, but also plays a critical role in shaping our perceptions of the outcomes of our actions, directing our attention, and informing our actions. Furthermore, understanding the role of the sense of agency in cognitive systems is essential for the development of techniques that predict human behavior and subject experience and for designing optimal action plans for systems.