Nietzsche frequently claims that agents are in some sense ignorant of their own actions. But what exactly does Nietzsche mean by this claim, and how would the truth of this claim affect philosophical models of agency? I argue that Nietzsche intends to draw attention to the fact that there are influences on reflective episodes of choice that have three features. First, these influences are pervasive, occurring in every episode of choice. Second, these influences are normatively significant, in that their presence typically affects the outcome of deliberation. Third, these influences are difficult to detect, in that one needs to acquire a great deal of self-knowledge in order to begin to counteract their effects. I briefly sketch the way in which these claims follow from Nietzsche's philosophical psychology.