Based on a qualitative study about expert musicianship, this paper distinguishes three ways of interacting by putting them in relation to the sense of agency. Following Pacherie (Phenomenology the Cognitive Sciences 13:25–46, 2014), it highlights that the phenomenology of shared agency undergoes a drastic transformation when musicians establish a sense of we-agency. In particular, the musicians conceive of the performance as one single action towards which they experience an epistemic privileged access. The implications of these results for a theory of collective intentionality are discussed by addressing two general questions: When several individuals share an intention, does this fact secure plural self-knowledge? And is it possible to have non-observational knowledge about a collective action? It is claimed that the results drawn from the study about expert musicianship supports negative answers to both questions.