Self-supervised pretraining has been extensively studied in language and vision domains, where a unified model can be easily adapted to various downstream tasks by pretraining representations without explicit labels. When it comes to sequential decision-making tasks, however, it is difficult to properly design such a pretraining approach that can cope with both high-dimensional perceptual information and the complexity of sequential control over long interaction horizons. The challenge becomes combinatorially more complex if we want to pretrain representations amenable to a large variety of tasks. To tackle this problem, in this work, we formulate a general pretraining-finetuning pipeline for sequential decision making, under which we propose a generic pretraining framework \textit{Self-supervised Multi-task pretrAining with contRol Transformer (SMART)}. By systematically investigating pretraining regimes, we carefully design a Control Transformer (CT) coupled with a novel control-centric pretraining objective in a self-supervised manner. SMART encourages the representation to capture the common essential information relevant to short-term control and long-term control, which is transferrable across tasks. We show by extensive experiments in DeepMind Control Suite that SMART significantly improves the learning efficiency among seen and unseen downstream tasks and domains under different learning scenarios including Imitation Learning (IL) and Reinforcement Learning (RL). Benefiting from the proposed control-centric objective, SMART is resilient to distribution shift between pretraining and finetuning, and even works well with low-quality pretraining datasets that are randomly collected. The codebase, pretrained models and datasets are provided at https://github.com/microsoft/smart.