Different from what happens for most types of software systems, testing video games has largely remained a manual activity performed by human testers. This is mostly due to the continuous and intelligent user interaction video games require. Recently, reinforcement learning (RL) has been exploited to partially automate functional testing. RL enables training smart agents that can even achieve super-human performance in playing games, thus being suitable to explore them looking for bugs. We investigate the possibility of using RL for load testing video games. Indeed, the goal of game testing is not only to identify functional bugs, but also to examine the game's performance, such as its ability to avoid lags and keep a minimum number of frames per second (FPS) when high-demanding 3D scenes are shown on screen. We define a methodology employing RL to train an agent able to play the game as a human while also trying to identify areas of the game resulting in a drop of FPS. We demonstrate the feasibility of our approach on three games. Two of them are used as proof-of-concept, by injecting artificial performance bugs. The third one is an open-source 3D game that we load test using the trained agent showing its potential to identify areas of the game resulting in lower FPS.