A tool that is commonly used to investigate selection among different alternatives in a changing environment is the task-switching paradigm. Functional neuroimaging has pointed out a role for the posterior medial frontal cortex and the posterior parietal cortex in the voluntary selection of task sets. In the present study, we set out to investigate the temporal dynamics of these agency-related processes (in task choice vs. no-choice conditions) using event-related brain potentials (ERPs). The results revealed agency-related modulations of a series of ERP components, including (1) an early parieto-occipital activation, taken to reflect the evaluation of choice versus no choice; (2) a subsequent medial frontal expression of the voluntary selection between task sets; (3) a CNV-like sustained negativity in preparation for the target; (4) a target-induced N210-P210 complex, taken to reflect early sensory-perceptual processing; and (5) a target-induced P3, associated with the evaluation of the stimulus and its designated response vis-à-vis the chosen versus competing task sets. Together, these results indicate that the opportunity to choose between tasks invokes activity originating from the medial frontal cortex, associated with voluntary task set selection, but also activation at different time points in a number of other brain areas, not necessarily captured by functional neuroimaging.