Optimal action selection in decision problems characterized by sparse, delayed rewards is still an open challenge. For these problems, current deep reinforcement learning methods require enormous amounts of data to learn controllers that reach human-level performance. In this work, we propose a method that interleaves planning and learning to address this issue. The planning step hinges on the Iterated-Width (IW) planner, a state of the art planner that makes explicit use of the state representation to perform structured exploration. IW is able to scale up to problems independently of the size of the state space. From the state-actions visited by IW, the learning step estimates a compact policy, which in turn is used to guide the planning step. The type of exploration used by our method is radically different than the standard random exploration used in RL. We evaluate our method in simple problems where we show it to have superior performance than the state-of-the-art reinforcement learning algorithms A2C and Alpha Zero. Finally, we present preliminary results in a subset of the Atari games suite.