We prove a fundamental limitation on the efficiency of a wide class of Reinforcement Learning (RL) algorithms. This limitation applies to model-free RL methods as well as a broad range of model-based methods, such as planning with tree search. Under an abstract definition of this class, we provide a family of RL problems for which these methods suffer a lower bound exponential in the horizon for their interactions with the environment to find an optimal behavior. However, there exists a method, not tailored to this specific family of problems, which can efficiently solve the problems in the family. In contrast, our limitation does not apply to several types of methods proposed in the literature, for instance, goal-conditioned methods or other algorithms that construct an inverse dynamics model.