Abstract The development of self-propelled particles at the micro- and the nanoscale has sparked a huge potential for future applications in active matter physics, microsurgery, and targeted drug delivery. However, while the latter applications provoke the quest on how to optimally navigate towards a target, such as e.g. a cancer cell, there is still no simple way known to determine the optimal route in sufficiently complex environments. Here we develop a machine learning-based approach that allows us, for the first time, to determine the asymptotically optimal path of a self-propelled agent which can freely steer in complex environments. Our method hinges on policy gradient-based deep reinforcement learning techniques and, crucially, does not require any reward shaping or heuristics. The presented method provides a powerful alternative to current analytical methods to calculate optimal trajectories and opens a route towards a universal path planner for future intelligent active particles.