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Women agency defined as the ability to conceive of purposeful plan and to carry out action consistent with such a plan can play an important role in determining health status. Using data from female respondents conducted in a survey in the city of Dhaka in Bangladesh, this paper explores how women agency relates to their physical and mental health. The findings indicate women with high agency to experience significantly lesser mental distress on average. Counterintuitively, these women are more likely to report poor physical health. As an explanation, we propose purposeful action among women with high agency as a potential reason, wherein they conceive purpose in the future and formulate action that is feasible today. Hence, these women prefer to report illness and get the required treatment to ensure better future health. This illuminates our understanding of sustainable development and emphasises the critical role of women agency for sustainable human development.