The Markov property entails the conditional independence structure inherent in Gibbs distributions for general classical Hamiltonians, a feature that plays a crucial role in inference, mixing time analysis, and algorithm design. However, much less is known about quantum Gibbs states. In this work, we show that for any Hamiltonian with a bounded interaction degree, the quantum Gibbs state is locally Markov at arbitrary temperature, meaning there exists a quasi-local recovery map for every local region. Notably, this recovery map is obtained by applying a detailed-balanced Lindbladian with jumps acting on the region. Consequently, we prove that (i) the conditional mutual information (CMI) for a shielded small region decays exponentially with the shielding distance, and (ii) under the assumption of uniform clustering of correlations, Gibbs states of general non-commuting Hamiltonians on $D$-dimensional lattices can be prepared by a quantum circuit of depth $e^{O(\log^D(n/ε))}$, which can be further reduced assuming certain local gap condition. Our proofs introduce a regularization scheme for imaginary-time-evolved operators at arbitrarily low temperatures and reveal a connection between the Dirichlet form, a dynamic quantity, and the commutator in the KMS inner product, a static quantity. We believe these tools pave the way for tackling further challenges in quantum thermodynamics and mixing times, particularly in low-temperature regimes.