Reinforcement learning (RL) has been pivotal in enhancing the reasoning capabilities of large language models (LLMs), but it often suffers from limited exploration and entropy collapse, where models exploit a narrow set of solutions, leading to a loss of sampling diversity and subsequently preventing RL from further improving performance. This issue is exacerbated in parallel sampling methods, where multiple outputs are drawn from the same distribution, potentially causing the model to converge to similar solutions. We propose SESA, a novel SEquential SAmpling framework that mitigates this challenge by generating diverse solution sketches sequentially before expanding them into full reasoning paths. This approach ensures broader exploration by conditioning each new output on previous ones, promoting diversity throughout the process and preventing policy collapse. Our experiments on a synthetic task show that sequential sampling consistently outperforms traditional RL methods in terms of path diversity and recovery from collapse. Further evaluations on real-world tasks demonstrate that SESA improves both the exploration of valid strategies and the overall performance of LLMs. On three agent benchmarks, SESA lifts success rates by $+0.25$, $+0.42$, and $+0.07$ absolute over the base model (up to an additional $211\%$ relative improvement over baseline RL), underscoring its exploration advantage. This work introduces a structured approach to exploration, paving the way for more effective and diverse reasoning in RL-trained LLMs. Our code is released at https://github.com/MuLabPKU/sesa.