Live entertainment is moving towards a greater participatory culture, with dynamic narratives told through audience interaction. Robot characters offer a unique opportunity to mitigate the challenges of creating personalized entertainment at scale. In this work, we explore methods to increase user agency in live entertainment experiences with robot characters to improve user engagement and enjoyment. In a between-subjects study (N = 60), we create an immersive story where users role-play as detectives with two distinct robot characters. Our results show that increasing user agency in a role-playing experience, in either its narrative or its gameplay, improves users’ flow state, sense of autonomy and competence, verbal engagement, and perceptions of the robot characters’ engagement.