Automatic learning of control policies is becoming increasingly important to allow autonomous agents to operate alongside, or in place of, humans in dangerous and fast-paced situations. Reinforcement learning (RL), including genetic policy search algorithms, comprise a promising technology area capable of learning such control policies. Unfortunately, RL techniques can take prohibitively long to learn a sufficiently good control policy in environments described by many sensors (features). We argue that in many cases only a subset of available features are needed to learn the task at hand, since others may represent irrelevant or redundant information. In this work, we propose a predictive feature selection framework that analyzes data obtained during execution of a genetic policy search algorithm to identify relevant features on-line. This serves to constrain the policy search space and reduces the time needed to locate a sufficiently good policy by embedding feature selection into the process of learning a control policy. We explore this framework through an instantiation called predictive feature selection embedded in neuroevolution of augmenting topology (NEAT), or PFS-NEAT. In an empirical study, we demonstrate that PFS-NEAT is capable of enabling NEAT to successfully find good control policies in two benchmark environments, and show that it can outperform three competing feature selection algorithms, FS-NEAT, FD-NEAT, and SAFS-NEAT, in several variants of these environments.