We present CEMA: Causal Explanations in Multi-Agent systems; a general framework to create causal explanations for an agent's decisions in sequential multi-agent systems. The core of CEMA is a novel causal selection method inspired by how humans select causes for explanations. Unlike prior work that assumes a specific causal structure, CEMA is applicable whenever a probabilistic model for predicting future states of the environment is available. Given such a model, CEMA samples counterfactual worlds that inform us about the salient causes behind the agent's decisions. We evaluate CEMA on the task of motion planning for autonomous driving and test it in diverse simulated scenarios. We show that CEMA correctly and robustly identifies the causes behind decisions, even when a large number of agents is present, and show via a user study that CEMA's explanations have a positive effect on participant's trust in AVs and are rated at least as good as high-quality human explanations elicited from other participants.

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