Background. Agency, a sense of control over one’s actions and outcomes, is crucial for recovery from depressive symptoms. However, the mechanisms that enhance agency in individuals with depressive symptoms remain poorly understood. This study endeavors to elucidate these fundamental processes. Materials and Methods. We recruited 52 participants exhibiting depressive symptoms to participate in a novel Judgment of Agency (JoA) task. This task was structured with a 3 (effort: high load, medium load, low load) × 2 (outcome: win, miss) within‐subject design to assess the impact of effort and outcome valence on agency. Throughout the task, we utilized functional near‐infrared spectroscopy (fNIRS) to explore the neural mechanisms underlying agency. Furthermore, we conducted a randomized, sham‐controlled, pre–post‐test trial involving intermittent theta‐burst stimulation (iTBS) targeted at the left dorsolateral prefrontal cortex (DLPFC) to investigate its potential to enhance agency. Participants were randomly allocated to either an active iTBS group or a sham group, with each receiving a single session of stimulation (600 pulses). The JoA task was conducted both before and after the stimulation. Results. Effort significantly influenced agency in individuals with depressive symptoms, with this effect being moderated by the outcomes’ valences. Agency was positively correlated with self‐efficacy (r = 0.28, P < 0.05) when goals were achieved with effort, and with anxiety severity (r = 0.29, P < 0.05) when goals were not achieved. Additionally, it was associated with the activation of several frontal brain regions (all P values < 0.01), including the left DLPFC, right premotor and supplementary motor areas, and the left inferior frontal gyrus (IFG). Application of iTBS over the left DLPFC significantly enhanced self‐attributed agency, particularly when the outcomes were achieved under conditions of low‐load effort. Conclusions. Our study highlights the critical role of effort in enhancing agency for individuals with depressive symptoms, with iTBS applied to the left DLPFC showing potential to enhance agency postgoal achievement. Moreover, the activation of the left IFG and the presence of anxiety are associated with maladaptive self‐attributed agency, offering potential targets for therapeutic intervention.