We are interested in target-directed agents, which produce targets during decision-time planning, to guide their behaviors and achieve better generalization during evaluation. Improper training of these agents can result in delusions: the agent may come to hold false beliefs about the targets, which cannot be properly rejected, leading to unwanted behaviors and damaging out-of-distribution generalization. We identify different types of delusions by using intuitive examples in carefully controlled environments, and investigate their causes. We demonstrate how delusions can be addressed for agents trained by hindsight relabeling, a mainstream approach in for training target-directed RL agents. We validate empirically the effectiveness of the proposed solutions in correcting delusional behaviors and improving out-of-distribution generalization.