A closer library is Infer.NET: https://dotnet.github.io/infer.

It includes a really mature compiler that generates very efficient message passing and variational inference, with support for online inference, which is the main focus on Rxinfer.

You can call Infer.NET from Python in a number of ways, despite it is not a CPython library.

> What's the equivalent in python?

You might start with Stan for which Python bindings are available if I recall correctly.

(Num)Pyro