In recent decades, a series of regulatory agencies has been created at the European Union (EU) level. The existing literature on EU agencies focuses either on autonomy as a reason for the creation of such agencies or on the autonomy that they are granted by design. As a result, we do not know much about how EU agencies' actual autonomy comes about. This article therefore probes into the early development of two specific agencies. On the basis of document analysis and interviews with agency staff members, national experts, EU officials, external stakeholders, and clients, it explores why, in practice, the European Medicines Agency (EMA) seems to have developed a higher level of autonomy than the European Food Safety Authority (EFSA), even though on paper EMA appears to be as autonomous as, or if anything, less autonomous than EFSA. The article demonstrates the importance of investigating the managerial strategies of EU regulatory agencies to understand the actual practice of their autonomy and points to legitimacy as a key condition affecting the early development of such agencies.