Machine learning models are increasingly shared and outsourced, raising requirements of verifying training effort (Proof-of-Learning, PoL) to ensure claimed performance and establishing ownership (Proof-of-Ownership, PoO) for transactions. When models are trained by untrusted parties, PoL and PoO must be enforced together to enable protection, attribution, and compensation. However, existing studies typically address them separately, which not only weakens protection against forgery and privacy breaches but also leads to high verification overhead. We propose PoLO, a unified framework that simultaneously achieves PoL and PoO using chained watermarks. PoLO splits the training process into fine-grained training shards and embeds a dedicated watermark in each shard. Each watermark is generated using the hash of the preceding shard, certifying the training process of the preceding shard. The chained structure makes it computationally difficult to forge any individual part of the whole training process. The complete set of watermarks serves as the PoL, while the final watermark provides the PoO. PoLO offers more efficient and privacy-preserving verification compared to the vanilla PoL solutions that rely on gradient-based trajectory tracing and inadvertently expose training data during verification, while maintaining the same level of ownership assurance of watermark-based PoO schemes. Our evaluation shows that PoLO achieves 99% watermark detection accuracy for ownership verification, while preserving data privacy and cutting verification costs to just 1.5-10% of traditional methods. Forging PoLO demands 1.1-4x more resources than honest proof generation, with the original proof retaining over 90% detection accuracy even after attacks.