There is often overlap between the two. When focusing on what differences there might be between the concepts:
agency emphasizes capacity to act/take action, as opposed to being a deterministic automaton; such decisions can be reached through free will and/or through the influence of social structures/social conditioning
autonomy emphasizes capacity to be reflective and self governed (i.e. in the case of autonomy: one is reflective regarding how they reach their decision; one is aware of their inner processes, their consistency, and of outside influence on such processes). In the case of autonomy, one is said to own, to a large extent, such processes/their decisions
– Is there a difference between agency and autonomy? : Feminism