In this paper, it is examined how neuroscience can help to understand the nature of volition by addressing the question whether volitions can be localized in the brain. Volitions, as acts of the will, are special mental events or activities by which an agent consciously and actively exercises her agency to voluntarily direct her thoughts and actions. If we can pinpoint when and where volitional events or activities occur in the brain and find out their neural underpinnings, this can substantively aid to demystify the concept of volition. After first discussing some methodological issues regarding whether it is possible to locate volition in the brain, various approaches by which neuroscientists and psychologists explore the neural correlates and substrates of volition are examined. Although different psychological conceptualizations of volition shape different perspectives toward understanding the functions of volition, the explorations of the neural basis of volition converge on certain common brain areas and structures. A unifying conception of volition that helps to make better sense of recent empirical findings is then suggested.