Policy tree search is a family of tree search algorithms that use a policy to guide the search. These algorithms provide guarantees on the number of expansions required to solve a given problem that are based on the quality of the policy. While these algorithms have shown promising results, the process in which they are trained requires complete solution trajectories to train the policy. Search trajectories are obtained during a trial-and-error search process. When the training problem instances are hard, learning can be prohibitively costly, especially when starting from a randomly initialized policy. As a result, search samples are wasted in failed attempts to solve these hard instances. This paper introduces a novel method for learning subgoal-based policies for policy tree search algorithms. The subgoals and policies conditioned on subgoals are learned from the trees that the search expands while attempting to solve problems, including the search trees of failed attempts. We empirically show that our policy formulation and training method improve the sample efficiency of learning a policy and heuristic function in this online setting.