Sex workers suffer considerable marginalization, which is assumed to limit their choices and make them more likely to be exposed to various types of harm. Given this, it is relevant to examine sex workers’ professional agency and how it is associated with their quality of life. In the current study, we investigated professional agency, quality of life, and problematic substance use among sex workers in Finland. We surveyed 136 sex workers contacted through sex-work organizations and social media platforms. As expected, professional agency was strongly positively associated with quality of life (β = .86, p < .001) and negatively associated with problematic alcohol (β = −.38, p = .002) and drug (β = −.69, p < .001) use. Professional agency explained as much as 73% of the variance in quality of life. Most sex workers rated their quality of life as either good or very good. The results highlight that professional agency is essential to sex workers’ well-being. However, as most of the respondents were Finnish-born ciswomen, our results might not generalize to foreign-born, male, and trans sex workers.