The dual tasks of quantum Hamiltonian learning and quantum Gibbs sampling are relevant to many important problems in physics and chemistry. In the low temperature regime, algorithms for these tasks often suffer from intractabilities, for example from poor sample- or time-complexity. With the aim of addressing such intractabilities, we introduce a generalization of quantum natural gradient descent to parameterized mixed states, as well as provide a robust first-order approximating algorithm, Quantum-Probabilistic Mirror Descent. We prove data sample efficiency for the dual tasks using tools from information geometry and quantum metrology, thus generalizing the seminal result of classical Fisher efficiency to a variational quantum algorithm for the first time. Our approaches extend previously sample-efficient techniques to allow for flexibility in model choice, including to spectrally-decomposed models like Quantum Hamiltonian-Based Models, which may circumvent intractable time complexities. Our first-order algorithm is derived using a novel quantum generalization of the classical mirror descent duality. Both results require a special choice of metric, namely, the Bogoliubov-Kubo-Mori metric. To test our proposed algorithms numerically, we compare their performance to existing baselines on the task of quantum Gibbs sampling for the transverse field Ising model. Finally, we propose an initialization strategy leveraging geometric locality for the modelling of sequences of states such as those arising from quantum-stochastic processes. We demonstrate its effectiveness empirically for both real and imaginary time evolution while defining a broader class of potential applications.