Human–Machine Interaction (HMI) systems are integral to various domains and rely on human operators for effective performance. The sense of agency (SoA) is crucial in these systems, as it influences the operator’s concentration and overall efficiency. This review explores the SoA in HMI systems, analyzing its definition, key influencing factors, and methods for enhancement. We provide a comprehensive examination of SoA-related research and suggest strategies for measuring and improving the SoA. Two key research directions are highlighted: the impact of user experience on the SoA, and the role of the SoA in enabling unconscious communication between humans and machines. We propose a development route for HMI systems, outlining a progressive structure across three stages: machine-centric, human-centric, and human–machine integration. Finally, we discuss the potential of gaming platforms as tools for advancing SoA research in HMI systems. Our findings aim to enhance the design and functionality of HMI systems, ensuring improved operator engagement and system performance.