Student agency is often mentioned as a key feature of feedback practices. Commonly, the concept of agency is used to refer to students' active role in the process of seeking, receiving, generating and acting upon feedback information. However, the notion of what student agency means is often taken for granted and rarely elaborated. The feedback literature has also mainly focussed on agency within individualised and psychological paradigms of feedback. In this paper we argue that a more sophisticated view of students' role in feedback processes is needed. We identify four theoretical frameworks of student agency that reach beyond the individual -- ecological, authorial, sociomaterial and discursive -- as well as the implications of each of these frameworks for feedback. We further argue that a deeper understanding of student agency as a socio-cultural and -political construct is vital in the 'new paradigm' of learner-centred feedback. The paper serves as a basis for future empirical studies on feedback practices to adopt a more nuanced understanding of student agency.