When an agent is in Alpha, you can access his/her skills from the Agency. You will then open the Training Panel. This is where you can teach them new skills. There are three types of skills: Common, Rare and Legendary. You can improve existing skills or roll for new ones.
If a mission choice option requires a skill that one of your agents has, the powerlevel will adjust, making it a safer choice. The skills of all the members of the crew will combine to form the ship’s total Powerlevel, so try to diversify your talents!