While we are performing a demanding cognitive task, not only do we have a sense of cognitive effort, we are also subjectively aware that we are initiating, executing and controlling our thoughts and actions (i.e., sense of agency). Previous studies have shown that cognitive effort can be both detrimental and facilitative for the experienced sense of agency. We hypothesized that the reason for these contradictory findings might lie in the use of differential time windows in which cognitive effort operates. The current study therefore examined the effect of cognitive effort exerted on the current trial, on the previous trial or across a block of trials on sense of agency, using implicit (Experiment 1) and explicit (Experiment 2) measures of sense of agency. We showed that the exertion of more cognitive control on current trials led to a higher explicit sense of agency. This surprising result was contrasted to previous studies to establish potential reasons for this surprising finding and to formulate recommendations for future studies.