This paper studies the fundamental problem of learning energy-based model (EBM) in the latent space of the generator model. Learning such prior model typically requires running costly Markov Chain Monte Carlo (MCMC). Instead, we propose to use noise contrastive estimation (NCE) to discriminatively learn the EBM through density ratio estimation between the latent prior density and latent posterior density. However, the NCE typically fails to accurately estimate such density ratio given large gap between two densities. To effectively tackle this issue and further learn more expressive prior model, we develop the adaptive multi-stage density ratio estimation which breaks the estimation into multiple stages and learn different stages of density ratio sequentially and adaptively. The latent prior model can be gradually learned using ratio estimated in previous stage so that the final latent space EBM prior can be naturally formed by product of ratios in different stages. The proposed method enables informative and much sharper prior than existing baselines, and can be trained efficiently. Our experiments demonstrate strong performances in terms of image generation and reconstruction as well as anomaly detection.