Methods, systems, and apparatus, including computer programs encoded on computer storage media, for controlling a reinforcement learning agent in an environment to perform a task using a retrieval-augmented action selection process. One of the methods includes receiving a current observation characterizing a current state of the environment; processing an encoder network input comprising the current observation to determine a policy neural network hidden state that corresponds to the current observation; maintaining a plurality of trajectories generated as a result of the reinforcement learning agent interacting with the environment; selecting one or more trajectories from the plurality of trajectories; updating the policy neural network hidden state using update data determined from the one or more selected trajectories; and processing the updated hidden state using a policy neural network to generate a policy output that specifies an action to be performed by the agent in response to the current observation.