Methods, systems, and apparatus, including computer programs encoded on a computer storage medium, for training a reinforcement learning system. The method includes: training an action selection policy neural network, and during the training of the action selection neural network, training one or more auxiliary control neural networks and a reward prediction neural network. Each of the auxiliary control neural networks is configured to receive a respective intermediate output generated by the action selection policy neural network and generate a policy output for a corresponding auxiliary control task. The reward prediction neural network is configured to receive one or more intermediate outputs generated by the action selection policy neural network and generate a corresponding predicted reward. Training each of the auxiliary control neural networks and the reward prediction neural network comprises adjusting values of the respective auxiliary control parameters, reward prediction parameters, and the action selection policy network parameters.