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Improving sample efficiency is a key research problem in reinforcement learning (RL), and CURL, which uses contrastive learning to extract high-level features from raw pixels of individual video frames, is an efficient algorithm~\citep{srinivas2020curl}. We observe that consecutive video frames in a game are highly correlated but CURL deals with them independently. To further improve data efficiency, we propose a new algorithm, masked contrastive representation learning for RL, that takes the correlation among consecutive inputs into consideration. In addition to the CNN encoder and the policy network in CURL, our method introduces an auxiliary Transformer module to leverage the correlations among video frames. During training, we randomly mask the features of several frames, and use the CNN encoder and Transformer to reconstruct them based on the context frames. The CNN encoder and Transformer are jointly trained via contrastive learning where the reconstructed features should be similar to the ground-truth ones while dissimilar to others. During inference, the CNN encoder and the policy network are used to take actions, and the Transformer module is discarded. Our method achieves consistent improvements over CURL on $14$ out of $16$ environments from DMControl suite and $21$ out of $26$ environments from Atari 2600 Games. The code is available at https://github.com/teslacool/m-curl.