We propose learning via retracing, a novel self-supervised approach for learning the state representation (and the associated dynamics model) for reinforcement learning tasks. In addition to the predictive (reconstruction) supervision in the forward direction, we propose to include `"retraced" transitions for representation/model learning, by enforcing the cycle-consistency constraint between the original and retraced states, hence improve upon the sample efficiency of learning. Moreover, learning via retracing explicitly propagates information about future transitions backward for inferring previous states, thus facilitates stronger representation learning. We introduce Cycle-Consistency World Model (CCWM), a concrete instantiation of learning via retracing implemented under existing model-based reinforcement learning framework. Additionally we propose a novel adaptive "truncation" mechanism for counteracting the negative impacts brought by the "irreversible" transitions such that learning via retracing can be maximally effective. Through extensive empirical studies on continuous control benchmarks, we demonstrates that CCWM achieves state-of-the-art performance in terms of sample efficiency and asymptotic performance.