This exploratory study aims at identifying the benefits of dancing in the perception of the sense of agency for mental health in order to propose possible agency indicators referring to the capacity for self-management in individuals regarding their mental health. A review of initially 79 articles that address the use of dance in therapeutic context and other interventions oriented to bodily movement for treating mental health conditions and problems was made; in the end, 22 articles were included. From the review and the analysis carried out, a proposal of a model that allows for the definition of two indicators of the sense of agency was made. Those indicators are the perceived personal control and the perceived auto-efficacy. These indicators correspond to the reflexive and pre-reflexive levels of cognition recognized by the embodiment approach. The model facilitates to follow up the therapeutic progress of mental health and non-medical symptoms, thereby contributing to the practical grounding of the use of dance and movement in enhancing the sense of agency.