Sense of agency is the feeling of being in control of one's actions and their perceivable effects. Most previous research identified cognitive or sensory determinants of agency experience. However, it has been proposed that sense of agency is also bound to the processing of affective information. For example, during goal-directed actions or instrumental learning we often rely on positive feedback (e.g., rewards) or negative feedback (e.g., error messages) to determine our level of control over the current task. Nevertheless, we still lack a scientific model which adequately explains the relation between affective processing and sense of agency. In this article, we review current empirical findings on how affective information modulates agency experience, and, conversely, how sense of agency changes the processing of affective action outcomes. Furthermore, we discuss in how far agency-related changes in affective processing might influence the ability to enact cognitive control and action regulation during goal-directed behavior. A preliminary model is presented for describing the interplay between sense of agency, affective processing, and action regulation. We propose that affective processing could play a role in mediating the influence between subjective sense of agency and the objective ability to regulate one's behavior. Thus, determining the interrelation between affective processing and sense of agency will help us to understand the potential mechanistic basis of agency experience, as well as its functional significance for goal-directed behavior.