In nature, animals need to actively engage with the environment in order to prosper in survival and reproduction. Hence, agency is a central adaptive characteristic of animal life. In this paper, I propose that from the adaptive/functional point of view, four levels of agency can be distinguished, namely passive/reactive agency (animal being behaviourally passive or purely reactive), action-driven agency (animal behaviourally pursuing current desirable outcomes), competence-building agency (animal engaging with the environment to gain skills and information for future use) and aspirational agency (the animal achieving long-term goals through planning and autobiographical reflection). Recent progress in affective neurobiology indicates that each tier of agency is supported by a different type of affective functioning, at least in the case of mammals. Furthermore, the particular agency levels can be linked to distinct degrees of awareness as defined by recent selfhood theories. Based on this coupling between agency adaptive functioning, affective neurobiology and animal awareness levels, I examine several links between animal agency and animal welfare, including the notion of animal boredom, and discuss how animal agency might be promoted in the restrictive frameworks of intensive animal farming.