Meta-paths are important tools for a wide variety of data mining and network analysis tasks in Heterogeneous Information Networks (HINs), due to their flexibility and interpretability to capture the complex semantic relation among objects. To date, most HIN analysis still relies on hand-crafting meta-paths, which requires rich domain knowledge that is extremely difficult to obtain in complex, large-scale, and schema-rich HINs. In this work, we present a novel framework, Meta-path Discovery with Reinforcement Learning (MPDRL), to identify informative meta-paths from complex and large-scale HINs. To capture different semantic information between objects, we propose a novel multi-hop reasoning strategy in a reinforcement learning framework which aims to infer the next promising relation that links a source entity to a target entity. To improve the efficiency, moreover, we develop a type context representation embedded approach to scale the RL framework to handle million-scale HINs. As multi-hop reasoning generates rich meta-paths with various length, we further perform a meta-path induction step to summarize the important meta-paths using Lowest Common Ancestor principle. Experimental results on two large-scale HINs, Yago and NELL, validate our approach and demonstrate that our algorithm not only achieves superior performance in the link prediction task, but also identifies useful meta-paths that would have been ignored by human experts.