Contact-rich manipulation tasks in unstructured environments often require both haptic and visual feedback. However, it is non-trivial to manually design a robot controller that combines modalities with very different characteristics. While deep reinforcement learning has shown success in learning control policies for high-dimensional inputs, these algorithms are generally intractable to deploy on real robots due to sample complexity. We use self-supervision to learn a compact and multimodal representation of our sensory inputs, which can then be used to improve the sample efficiency of our policy learning. We evaluate our method on a peg insertion task, generalizing over different geometry, configurations, and clearances, while being robust to external perturbations. We present results in simulation and on a real robot. * Authors have contributed equally and names are in alphabetical order.Authors are with the Department of Computer Science, Stanford University. [mishlee,yukez,krshna,pshah9,ssilvio,feifeili, animeshg,bohg]@stanford.edu. A. Garg is also at Nvidia, USA.