People often find themselves in situations where the cause of events may be ambiguous. Surprisingly though, the experience of self-agency, i.e., perceiving oneself as the causal agent of behavioral outcomes, appears quite natural to most people. How then do these experiences arise? We discuss common models proposing that self-agency experiences result from the comparison between actual action-outcomes and the outcomes one explicitly set as a goal. However, recent developments in psychology and neuroscience suggest that our behaviors and the outcomes they produce can be primed and implicitly guided by environmental cues and yet are accompanied by experiences of self-agency. Hence, we also review research revealing how self-agency experiences may arise over behavioral outcomes that are implicitly primed before they occur and how such implicitly cued agency experiences may differ from agency experiences that are the result of explicitly set goals. Directions for future research are briefly addressed.