In recent years, fully differentiable rigid body physics simulators have been developed, which can be used to simulate a wide range of robotic systems. In the context of reinforcement learning for control, these simulators theoretically allow algorithms to be applied directly to analytic gradients of the reward function. However, to date, these gradients have proved extremely challenging to use, and are outclassed by algorithms using no gradient information at all. In this work we present a novel algorithm, cross entropy analytic policy gradients, that is able to leverage these gradients to outperform state of art deep reinforcement learning on a set of challenging nonlinear control problems.