In this work, we propose a Self-Supervised training strategy specifically designed for combinatorial problems.One of the main obstacles in applying supervised paradigms to such problems is the requirement of expensive target solutions as ground-truth, often produced with costly exact solvers. Inspired by Semi- and Self-Supervised learning, we show that it is possible to easily train generative models by sampling multiple solutions and using the best one according to the problem objective as a pseudo-label. In this way, we iteratively improve the model generation capability by relying only on its self-supervision, completely removing the need for optimality information. We prove the effectiveness of this Self-Labeling strategy on the Job Shop Scheduling (JSP), a complex combinatorial problem that is receiving much attention from the Reinforcement Learning community. We propose a generative model based on the well-known Pointer Network and train it with our strategy. Experiments on popular benchmarks demonstrate the potential of this approach as the resulting models outperform constructive heuristics and current state-of-the-art learning proposals for the JSP.