The sense of agency is a core element of self-experiences and is defined as the feeling of oneself being the ‘initiator’ of an action. It is thought to depend on an implicit coupling of action-outcome predictions and the sensory perception of the action. This concept is well-studied in the motor-domain, but less is known about agency during social interactions. It is clear that a sense of agency also occurs when we perform a social action (e. g. looking at someone’s eyes) and receiving feedback by another person (e. g. returning eye-contact). Here, we will refer to the experience of agency within a social interaction as the sense of social agency. The main aim of this article is to first, describe the concept of social agency and second review how virtual reality can help to simulate social interactions in order to systematically study self-experiences and social agency. Gaze-contingent eye-tracking paradigms represent a powerful tool in this endeavour, while we emphasise the importance of implementing ecologically valid, interactive stimuli. We furthermore propose a computational approach that can be useful to analyse such data based on the concept of predictive processing. Finally, we highlight the clinical relevance of this account and suggest how this approach can be helpful in providing a mechanistic description of social impairments across various psychiatric disorders. With this article, we attempt to review previous experimental work, suggest new methodological procedures and encourage future empirical research in the field.