Localization is the problem of estimating the location of an autonomous agent from an observation and a map of the environment. Traditional methods of localization, which filter the belief based on the observations, are sub-optimal in the number of steps required, as they do not decide the actions taken by the agent. We propose "Active Neural Localizer", a fully differentiable neural network that learns to localize efficiently. The proposed model incorporates ideas of traditional filtering-based localization methods, by using a structured belief of the state with multiplicative interactions to propagate belief, and combines it with a policy model to minimize the number of steps required for localization. Active Neural Localizer is trained end-to-end with reinforcement learning. We use a variety of simulation environments for our experiments which include random 2D mazes, random mazes in the Doom game engine and a photo-realistic environment in the Unreal game engine. The results on the 2D environments show the effectiveness of the learned policy in an idealistic setting while results on the 3D environments demonstrate the model's capability of learning the policy and perceptual model jointly from raw-pixel based RGB observations. We also show that a model trained on random textures in the Doom environment generalizes well to a photo-realistic office space environment in the Unreal engine.