Learning natural, animal-like locomotion from demonstrations has become a core paradigm in legged robotics. While motion tracking can reproduce reference gaits, many approaches still require substantial tuning and depend on reference motion inputs at deployment, which can limit responsiveness to task objectives and reduce adaptability. We present APEX (Action Priors enable Efficient eXploration), a motion-tracking reinforcement learning (RL) framework that removes deployment-time dependence on reference motion inputs, improves sample efficiency, and reduces tuning effort. APEX integrates demonstrations into RL via decaying action priors, which guide early exploration toward demonstration-consistent actions and then fade to zero, yielding a pure RL policy at deployment. This is combined with a multi-critic framework that separates style and task + regularization learning signals. Moreover, APEX enables a single policy to learn diverse motions and transfer reference-like styles across different terrains and velocities, while remaining robust to variations in training parameters. We validate our method in simulation on both humanoid and quadruped robots, and with zero-shot deployment on a Unitree Go2 robot. Website and code: https://marmotlab.github.io/APEX/.

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