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Preparing quantum thermal states on a quantum computer is in general a difficult task. We provide a procedure to prepare a thermal state on a quantum computer with a logarithmic depth circuit of local quantum channels assuming that the thermal state correlations satisfy the following two properties: (i) the correlations between two regions are exponentially decaying in the distance between the regions, and (ii) the thermal state is an approximate Markov state for shielded regions. We require both properties to hold for the thermal state of the Hamiltonian on any induced subgraph of the original lattice. Assumption (ii) is satisfied for all commuting Gibbs states, while assumption (i) is satisfied for every model above a critical temperature. Both assumptions are satisfied in one spatial dimension. Moreover, both assumptions are expected to hold above the thermal phase transition for models without any topological order at finite temperature. As a building block, we show that exponential decay of correlation (for thermal states of Hamiltonians on all induced subgraph) is sufficient to efficiently estimate the expectation value of a local observable. Our proof uses quantum belief propagation, a recent strengthening of strong sub-additivity, and naturally breaks down for states with topological order.