To overcome the sparse reward challenge in reinforcement learning (RL) for agents based on large language models (LLMs), we propose Mutual Information Self-Evaluation (MISE), an RL paradigm that utilizes hindsight generative self-evaluation as dense reward signals while simultaneously calibrating them against the environmental feedbacks. Empirically, MISE enables an agent to learn autonomously from dense internal rewards supplementing sparse extrinsic signals. Theoretically, our work provides the first formal foundation for the paradigm of generative self-rewarding. We prove that utilizing hindsight self-evaluation rewards is equivalent to minimizing an objective that combines mutual information with a KL divergence term between the policy and a proxy reward policy. This theoretical insight then informs and justifies our calibration step, which actively aligns these rewards with the optimal policy. Extensive experiments show that MISE outperforms strong baselines, enabling open-source LLMs about 7B parameters to achieve performance comparable to GPT-4o on validation without expert supervision.