Current advanced policy learning methodologies have demonstrated the ability to develop expert-level strategies when provided enough information. However, their requirements, including task-specific rewards, expert-labeled trajectories, and huge environmental interactions, can be expensive or even unavailable in many scenarios. In contrast, humans can efficiently acquire skills within a few trials and errors by imitating easily accessible internet video, in the absence of any other supervision. In this paper, we try to let machines replicate this efficient watching-and-learning process through Unsupervised Policy from Ensemble Self-supervised labeled Videos (UPESV), a novel framework to efficiently learn policies from videos without any other expert supervision. UPESV trains a video labeling model to infer the expert actions in expert videos, through several organically combined self-supervised tasks. Each task performs its own duties, and they together enable the model to make full use of both expert videos and reward-free interactions for advanced dynamics understanding and robust prediction. Simultaneously, UPESV clones a policy from the labeled expert videos, in turn collecting environmental interactions for self-supervised tasks. After a sample-efficient and unsupervised (i.e., reward-free) training process, an advanced video-imitated policy is obtained. Extensive experiments in sixteen challenging procedurally-generated environments demonstrate that the proposed UPESV achieves state-of-the-art few-shot policy learning (outperforming five current advanced baselines on 12/16 tasks) without exposure to any other supervision except videos. Detailed analysis is also provided, verifying the necessity of each self-supervised task employed in UPESV.