Understanding cognitive processes in multi-agent interactions is a primary goal in cognitive science. It can guide the direction of artificial intelligence (AI) research toward social decision-making in multi-agent systems, which includes uncertainty from character heterogeneity. In this paper, we introduce episodic future thinking (EFT) mechanism for a reinforcement learning (RL) agent, inspired by the cognitive processes observed in animals. To enable future thinking functionality, we first develop a multi-character policy that captures diverse characters with an ensemble of heterogeneous policies. The character of an agent is defined as a different weight combination on reward components, representing distinct behavioral preferences. The future thinking agent collects observation-action trajectories of the target agents and leverages the pre-trained multi-character policy to infer their characters. Once the character is inferred, the agent predicts the upcoming actions of target agents and simulates the potential future scenario. This capability allows the agent to adaptively select the optimal action, considering the predicted future scenario in multi-agent scenarios. To evaluate the proposed mechanism, we consider the multi-agent autonomous driving scenario in which autonomous vehicles with different driving traits are on the road. Simulation results demonstrate that the EFT mechanism with accurate character inference leads to a higher reward than existing multi-agent solutions. We also confirm that the effect of reward improvement remains valid across societies with different levels of character diversity.