Title: Self-Supervised Continuous Control without Policy Gradient. Abstract: Despite the remarkable progress made by the policy gradient algorithms in reinforcement learning (RL), sub-optimal policies usually result from the local exploration property of the policy gradient update. In this work, we propose a method called Zeroth-Order Supervised Policy Improvement (ZOSPI) that exploits the estimated value function $Q$ globally while preserving the local exploitation of the policy gradient methods. Experiments show that ZOSPI achieves competitive results on the MuJoCo benchmarks with a remarkable sample efficiency. Moreover, different from the conventional policy gradient methods, the policy learning of ZOSPI is conducted in a self-supervised manner. We show such a self-supervised learning paradigm has the flexibility of including optimistic exploration as well as adopting a non-parametric policy.