One paradigm of language model (LM) fine-tuning relies on creating large training datasets, under the assumption that high quantity and diversity will enable models to generalize to novel tasks after post-training. In practice, gathering large sets of data is inefficient, and training on them is prohibitively expensive; worse, there is no guarantee that the resulting model will handle complex scenarios or generalize better. Moreover, existing techniques rarely assess whether a training sample provides novel information or is redundant with the knowledge already acquired by the model, resulting in unnecessary costs. In this work, we explore a new test-time self-improvement method to create more effective and generalizable agentic LMs on-the-fly. The proposed algorithm can be summarized in three steps: (i) first it identifies the samples that model struggles with (self-awareness), (ii) then generates similar examples from detected uncertain samples (self-data augmentation), and (iii) uses these newly generated samples at test-time fine-tuning (self-improvement). We study two variants of this approach: Test-Time Self-Improvement (TT-SI), where the same model generates additional training examples from its own uncertain cases and then learns from them, and contrast this approach with Test-Time Distillation (TT-D), where a stronger model generates similar examples for uncertain cases, enabling student to adapt using distilled supervision. Empirical evaluations across different agent benchmarks demonstrate that TT-SI improves the performance with +5.48% absolute accuracy gain on average across all benchmarks and surpasses other standard learning methods, yet using 68x less training samples. Our findings highlight the promise of TT-SI, demonstrating the potential of self-improvement algorithms at test-time as a new paradigm for building more capable agents toward self-evolution.