In our daily lives, we frequently execute actions that require several steps to bring about the outcome. However, investigations on how the sense of agency—the sense of controlling our actions and their outcomes—evolves in multi-step actions are still lacking. The purpose of the present research is to fill this gap. In the present study, the participants executed one-step, two-step, and three-step actions in which one, two, or three keys had to be pressed consecutively to generate a tone. We used sensory attenuation as an implicit measure of the sense of agency. Sensory attenuation means that self-produced sensory effects are perceived as less intense than externally generated effects. In the present experiment, sensory attenuation was measured in a psychophysical paradigm and increased in multi-step actions compared to the one-step action. We also asked the participants to explicitly rate the amount to which they felt that they had generated the tone. Ratings were highest in the one-step condition and dropped for multi-step actions, thus showing the opposite pattern of the sensory attenuation data. We assume that enhanced sensory attenuation in multi-step actions could be due to increased effort or more accurate sensorimotor predictions of action effects. The decrease in explicit ratings for multi-step actions might be attributed to reduced perception of causality.