Relative entropy is the standard measure of distinguishability in classical and quantum information theory. In the classical case, its loss under channels admits an exact chain rule, while in the quantum case only asymptotic, regularized chain rules are known. We establish new chain rules for quantum relative entropy that apply already in the single-copy regime. The first inequality can be naturally obtained via POVM decompositions, extending the point distributions in the classical chain rule to quantum ensemble partitions. The second gives a sufficient condition for the most natural extension of the classical result, which uses projectors as an analog for the classical point distributions. We additionally find a semiclassical chain rule where the point distributions are replaced with the projectors of the initial states, and, finally, we find a relation to previous works on strengthened data processing inequalities and recoverability. These results show that meaningful chain inequalities are possible already at the single-copy level, but they also highlight that tighter bounds remain to be found.