In this conceptual article, we discuss the idea of students' epistemic agency as an overlooked link between assessment, knowledge and society. We transcend the contemporary discourses around assessment that focus on its authenticity and student-centredness and instead investigate assessment from the viewpoints of knowledge and knowing. This approach sees assessment as functioning not only as a promoter of student learning but also as a means to prepare students to be responsible graduates and citizens as epistemic agents. First, we adapt the theory of epistemic agency--that is, students' capability to agentically evaluate, produce, use and transform knowledge--by situating it within the specific context of assessment. Second, we suggest practice-oriented ideas for assessment and feedback design to nurture epistemic agency. Overall, we do not depict epistemic agency as yet another 'soft skill' in higher education but as a necessary focal point for assessment that aims to nurture a transformative relationship between students and knowledge. We suggest epistemic agency as a powerful concept in understanding and nurturing the three-way engagement between assessment, knowledge and society. This concept allows us to understand whether and how assessment shapes students as epistemic agents.