We formulate a bi-Connection Theory of Gravity whose Gravitational action consists of a recently defined mutual curvature scalar. Namely, we build a gravitational theory consisting of one metric and two affine connections, in a Metric-Affine Gravity setup. Consequently, coupling the two connections on an equal footing with matter, we show that the geometry of the resulting theory is, quite intriguingly, that of Statistical Manifold. This ultimately indicates a remarkable mathematical correspondence between Gravity and Information Geometry.