This paper explores the connections between optimal transport and variational inference, with a focus on forward and reverse time stochastic differential equations and Girsanov transformations.We present a principled and systematic framework for sampling and generative modelling centred around divergences on path space. Our work culminates in the development of a novel score-based annealed flow technique and a regularised iterative proportional fitting (IPF)-type objective, departing from the sequential nature of standard IPF. Through a series of generative modelling examples and a double-well-based rare event task, we showcase the potential of the proposed methods.