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While students can learn both chemistry content and inquiry practices by participating in course-based undergraduate research experiences (CUREs), their prior experiences can shape expectations. We conducted a case study to investigate students’ first experiences with a CURE in an upper-division chemical engineering laboratory course, drawing upon interviews (n = 6) and field notes. We used discourse analysis to characterize students’ agency as they navigated their uncertainty and made sense of authentic research. Offering students constrained yet consequential agency allowed them to recognize the authentic supports that were available, including help-seeking as itself a form of agency; understand failure as endemic to research rather than their shortcoming, and position themselves as capable of navigating the uncertainty as a community of researchers.