Traffic Signal Control (TSC) aims to reduce the average travel time of vehicles in a road network, which in turn enhances fuel utilization efficiency, air quality, and road safety, benefiting society as a whole. Due to the complexity of long-horizon control and coordination, most prior TSC methods leverage deep reinforcement learning (RL) to search for a control policy and have witnessed great success. However, TSC still faces two significant challenges. 1) The travel time of a vehicle is delayed feedback on the effectiveness of TSC policy at each traffic intersection since it is obtained after the vehicle has left the road network. Although several heuristic reward functions have been proposed as substitutes for travel time, they are usually biased and not leading the policy to improve in the correct direction. 2) The traffic condition of each intersection is influenced by the non-local intersections since vehicles traverse multiple intersections over time. Therefore, the TSC agent is required to leverage both the local observation and the non-local traffic conditions to predict the long-horizontal traffic conditions of each intersection comprehensively. To address these challenges, we propose DenseLight, a novel RL-based TSC method that employs an unbiased reward function to provide dense feedback on policy effectiveness and a non-local enhanced TSC agent to better predict future traffic conditions for more precise traffic control. Extensive experiments and ablation studies demonstrate that DenseLight can consistently outperform advanced baselines on various road networks with diverse traffic flows. The code is available at https://github.com/junfanlin/DenseLight.