From child play to scientific discovery, many activities human engage in are rewarding in and of themselves. Here, we ask what makes such activities intrinsically rewarding. Based on the existing literature we propose the answer is an increased sense of self-efficacy. That is, an activity that is intrinsically rewarding is one that strengthens a person’s belief that they can execute actions required to successfully deal with prospective situations. We show this notion can explain the rewarding nature of many activities and situations from solving cross word puzzles to helping others, consuming arts and playing sports. We suggest that processes that lead to increased self-efficacy, such as executing agency and learning, activate the neural reward system. This in turn is experienced as pleasure and reinforces the activity that generated the response. Intrinsic rewards would lead biological organism to improve their knowledge and skills which could help them adapt to changing environments.