Reinforcement learning (RL) has demonstrated its superiority in solving sequential decision-making problems. However, heavy dependence on immediate reward feedback impedes the wide application of RL. On the other hand, imitation learning (IL) tackles RL without relying on environmental supervision by leveraging external demonstrations. In practice, however, collecting sufficient expert demonstrations can be prohibitively expensive, yet the quality of demonstrations typically limits the performance of the learning policy. To address a practical scenario, in this work, we propose Self-Adaptive Imitation Learning (SAIL), which, provided with a few demonstrations from a sub-optimal teacher, can perform well in RL tasks with extremely delayed rewards, where the only reward feedback is trajectory-wise ranking. SAIL bridges the advantages of IL and RL by interactively exploiting the demonstrations to catch up with the teacher and exploring the environment to yield demonstrations that surpass the teacher. Extensive empirical results show that not only does SAIL significantly improve the sample efficiency, but it also leads to higher asymptotic performance across different continuous control tasks, compared with the state-of-the-art.