The following article aims to analyze the alterations in the sense of agency in people with major depressive disorder or clinical depression through the study of patient's testimonies registered in the literature. We will pursue the following scheme. After the introductory section, the first section describes the approximation of the nosological approach of depression represented by diagnostic manuals such as DSM. We will claim that this approach is insufficient for, at least, three reasons: (i) it reduces psychopathology to symptomatology, (ii) it focuses on heterogeneous symptoms, which causes a confusing integration in the total picture of the disorder, and (iii) it minimizes subjectivity. Considering these limitations, we will present the characteristics of this method of phenomenological psychiatry as an alternative to the exclusively nosological approach. In the second section, we will describe the disturbances of embodiment and, in particular, the sense of agency. In the third section, we will identify four aspects that show disruption in that sense in depression, namely: (i) loss of control, (ii) pathological passivity, (iii) chrematization, and (iv) inhibition. Finally, we will point out the conceptual and methodological implications of this analysis in the comprehensive study of mental disorders.