Agency, the ability to identify goals and then act upon them, is a core component of women’s empowerment and has important implications for the rights and well-being of women and girls. However, inadequate measurement of agency impedes empirical investigation, and few studies have investigated the relation between agency and health. Using a theory-based measure of women’s agency, we investigated the longitudinal association between agency and mental distress among women living in rural Rajasthan, India. Women completed baseline interviews between June and October 2016 and follow-up interviews between June and November 2017 (n = 2859). We measured mental distress with the Hindi version of the 12 item General Health Questionnaire, which asked women 12 questions about symptoms of mental distress (score range: 0-12). We measured agency using a measurement model which was composed of 23 indicators tapping into four domains of agency and validated in a prior research study. We modeled the relation between women’s agency and mental distress using Poisson regression and an individual-level fixed effects approach to account for time-fixed characteristics of individuals. In models that controlled for time-varying confounding (e.g., household wealth, number of sons), a one standard deviation increase in agency was associated with a reduction of 0.21 distress symptoms (95% CI: -0.32, -0.09), which corresponds to a 7% reduction (95% CI: 3%, 11%) relative to the mean. We found that specific domains of agency varied in their association with mental distress; namely, an increase in women’s agency regarding her attitudes about gender norms corresponded to a reduction in mental distress, whereas an increase in women’s agency regarding speaking up in public corresponded to an increase in mental distress. Our research demonstrates that agency may be a determinant of mental health and that comprehensive measurement can reveal nuanced relationships.