Equilibrium structures determine material properties and biochemical functions. We here propose to machine learn phase space averages, conventionally obtained by ab initio or force-field-based molecular dynamics (MD) or Monte Carlo (MC) simulations. In analogy to ab initio MD, our ab initio machine learning (AIML) model does not require bond topologies and, therefore, enables a general machine learning pathway to obtain ensemble properties throughout the chemical compound space. We demonstrate AIML for predicting Boltzmann averaged structures after training on hundreds of MD trajectories. The AIML output is subsequently used to train machine learning models of free energies of solvation using experimental data and to reach competitive prediction errors (mean absolute error ∼ 0.8 kcal/mol) for out-of-sample molecules-within milliseconds. As such, AIML effectively bypasses the need for MD or MC-based phase space sampling, enabling exploration campaigns of Boltzmann averages throughout the chemical compound space at a much accelerated pace. We contextualize our findings by comparison to state-of-the-art methods resulting in a Pareto plot for the free energy of solvation predictions in terms of accuracy and time.