Web agents powered by Large Language Models (LLMs) show promise for next-generation AI, but their limited reasoning in uncertain, dynamic web environments hinders robust deployment. In this paper, we identify key reasoning skills essential for effective web agents, i.e., reflection & lookahead, branching, and rollback, and curate trajectory data that exemplifies these abilities by reconstructing the agent's (inference-time) reasoning algorithms into chain-of-thought rationales. We conduct experiments in the agent self-improving benchmark, OpenWebVoyager, and demonstrate that distilling salient reasoning patterns into the backbone LLM via simple fine-tuning can substantially enhance its performance. Our approach yields significant improvements across multiple benchmarks, including WebVoyager, Mind2web-live, and SimpleQA (web search), highlighting the potential of targeted reasoning skill enhancement for web agents.