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Imagining a colored realistic image from an arbitrarily drawn sketch is one of the human capabilities that we eager machines to mimic. Unlike previous methods that either requires the sketch-image pairs or utilize low-quantity detected edges as sketches, we study the exemplar-based sketch-to-image (s2i) synthesis task in a self-supervised learning manner, eliminating the necessity of the paired sketch data. To this end, we first propose an unsupervised method to efficiently synthesize line-sketches for general RGB-only datasets. With the synthetic paired-data, we then present a self-supervised Auto-Encoder (AE) to decouple the content/style features from sketches and RGB-images, and synthesize images that are both content-faithful to the sketches and style-consistent to the RGB-images. While prior works employ either the cycle-consistence loss or dedicated attentional modules to enforce the content/style fidelity, we show AE's superior performance with pure self-supervisions. To further improve the synthesis quality in high resolution, we also leverage an adversarial network to refine the details of synthetic images. Extensive experiments on 1024*1024 resolution demonstrate a new state-of-art-art performance of the proposed model on CelebA-HQ and Wiki-Art datasets. Moreover, with the proposed sketch generator, the model shows a promising performance on style mixing and style transfer, which require synthesized images to be both style-consistent and semantically meaningful. Our code is available on https://github.com/odegeasslbc/Self-Supervised-Sketch-to-Image-Synthesis-PyTorch, and please visit https://create.playform.io/my-projects?mode=sketch for an online demo of our model.