Large Language Model (LLM) agents have recently shown strong potential in domains such as automated coding, deep research, and graphical user interface manipulation. However, training them to succeed on long-horizon, domain-specialized tasks remains challenging. Current methods primarily fall into two categories. The first relies on dense human annotations through behavior cloning, which is prohibitively expensive for long-horizon tasks that can take days or months. The second depends on outcome-driven sampling, which often collapses due to the rarity of valid positive trajectories on domain-specialized tasks. We introduce Apollo, a sampling framework that integrates asynchronous human guidance with action-level data filtering. Instead of requiring annotators to shadow every step, Apollo allows them to intervene only when the agent drifts from a promising trajectory, by providing prior knowledge, strategic advice, etc. This lightweight design makes it possible to sustain interactions for over 30 hours and produces valuable trajectories at a lower cost. Apollo then applies supervision control to filter out sub-optimal actions and prevent error propagation. Together, these components enable reliable and effective data collection in long-horizon environments. To demonstrate the effectiveness of Apollo, we evaluate it using InnovatorBench. Our experiments show that when applied to train the GLM-4.5 model on InnovatorBench, Apollo achieves more than a 50% improvement over the untrained baseline and a 28% improvement over a variant trained without human interaction. These results highlight the critical role of human-in-the-loop sampling and the robustness of Apollo's design in handling long-horizon, domain-specialized tasks.