Effective information retrieval requires reasoning over partial evidence and refining strategies as information emerges. Yet current approaches fall short: neural retrievers lack reasoning capabilities, large language models (LLMs) provide semantic depth but at prohibitive cost, and query rewriting or decomposition limits improvement to static transformations. As a result, existing methods fail to capture the iterative dynamics of exploration, feedback, and revision that complex user queries demand. We introduce Orion, a training framework that enables compact models (350M-1.2B parameters) to perform iterative retrieval through learned search strategies. Orion combines: (1) synthetic trajectory generation and supervised fine-tuning to encourage diverse exploration patterns in models, (2) reinforcement learning (RL) that rewards effective query refinement and backtracking behaviors, and (3) inference-time beam search algorithms that exploit the self-reflection capabilities learned during RL. Despite using only 3% of the training data available, our 1.2B model achieves 77.6% success on SciFact (vs. 72.6% for prior retrievers), 25.2% on BRIGHT (vs. 22.1%), 63.2% on NFCorpus (vs. 57.8%), and remains competitive on FEVER, HotpotQA, and MSMarco. It outperforms retrievers up to 200-400x larger on five of six benchmarks. These findings suggest that retrieval performance can emerge from learned strategies, not just model scale, when models are trained to search, reflect, and revise.