This paper explores a developmental approach to the sense of self-agency and to its influence on conscious and unconscious fantasy. I suggest that the emerging sense of self-agency offers an over-arching framework for our understanding of the nature and function of fantasy. In this context, intrusive and compulsive sexual fantasies which a person experiences as perverted and shameful, can be seen to serve differing psychic purposes, depending on the level of self-agency which is predominant. The fantasies can serve both as warning signals of the dangers of relationship and as opportunities for the mind to reflect on its own processes. Differing psychodynamic theories of fantasy are examined in terms of the developmental sense of self-agency that they represent.