Purpose: Learning to do research has been understudied in the context of professional development in postgraduate programs. This exploratory study investigated the agency and experiences of five Chinese students who learned to design their research project in a Master of Education program at an English-medium university in Hong Kong SAR. Design/Approach/Methods: We obtained the data from semi-structured interviews and documents to establish data triangulation. Findings: The findings revealed that (1) the students’ agency in research design and proposal writing was associated with their personal/professional backgrounds, (2) their English proficiency affected their agency in the proposal writing, (3) the supervisors’ feedback would stimulate students’ agency in changing/refining their research design, and (4) ineffective supervision and learning resources would impede students’ achievement of agency on their way to creating a robust research design. Originality/Value: This study adds empirical evidence to the field of research training through the lens of learner agency. It demonstrates the applicability of using the ecological framework of agency in theoretically interpreting the contextual facilitators and constraints in making postgraduate students active agents.