Agents in a learning environment can have various roles and social behaviours that can influence the goals and motivation of the learners in distinct ways. Self-regulated learning (SRL) is a comprehensive conceptual framework that encapsulates the cognitive, metacognitive, behavioural, motivational and affective aspects of learning and entails the processes of goal setting, monitoring progress, analyzing feedback, adjustment of goals and actions by the learner. In this thesis, we present a multi-agent learning interaction involving various pedagogical agent roles aiming to improve the self-regulation of the learner while engaging in a socially shared learning activity. We used distinct roles of agents, defined by their social attitudes and competence characteristics, to deliver specific regulation scaffolding strategies for the learner. The methodology followed in this Thesis started with the definition of pedagogical agent roles in a socially shared regulation context and the development of a collaborative learning task to facilitate self-regulation. Based on the learning task framework, we proposed a shared learning interaction consisting of a tutor agent providing external regulation support focusing on the performance of the learner and a peer agent demonstrating co-regulation strategies to promote self-regulation in the learner. A series of user studies have been conducted to understand the learner perceptions about the agent roles, related behaviours and the learning task. Altogether, the work presented in this thesis explores how various roles of agents can be utilised in providing regulation scaffolding to the learners in a socially shared learning context.