Infrastructure development has experienced a political renaissance in Africa and is again at the centre of national, regional, and continental development agendas. At the same time, China has been identified by African policy-makers as a particularly suitable strategic partner. As infrastructure has become a main pillar of Sino-African cooperation, there has been growing analytical interest on the role of African actors in shaping the terms and conditions and, by extension, the implementation of infrastructure projects with Chinese participation. This follows a more general African “agency turn” in China–Africa studies, which has shifted the research focus on the myriad ways in which African state and non-state actors shape the continent’s engagements with China. This article is situated within this growing body of literature and explores different forms of an African state agency in the context of Tanzania’s planned Bagamoyo port, Ethiopia’s Adama wind farms, and Kenya’s Lamu port. We posit a non-reductionist and social-relational ontology of the (African) state which sees the state as a multifaceted and multi-scalar institutional ensemble. We show that the extent and forms of state agencies exerted are inherently interrelated with and, thus, highly contingent upon concrete institutional, economic, political, and bureaucratic contexts in which African state actors are firmly embedded. In doing so, we make the case for a context-sensitive analysis of various spheres of a state agency in particular conjunctures of Sino-African engagement.