This work introduces a novel technique called progressive spatio-temporal filtering, an efficient method to build all-frequency approximations to the light transport distribution into a scene by filtering individual samples produced by an underlying path sampler, using online, iterative algorithms and data-structures that exploit both the spatial and temporal coherence of the approximated light field. Unlike previous approaches, the proposed method is both more efficient, due to its use of an iterative temporal feedback loop that massively improves convergence to a noise-free approximant, and more flexible, due to its introduction of a spatio-directional hashing representation that allows to encode directional variations like those due to glossy reflections. We then introduce four different methods to employ the resulting approximations to control the underlying path sampler and/or modify its associated estimator, greatly reducing its variance and enhancing its robustness to complex lighting scenarios. The core algorithms are highly scalable and low-overhead, requiring only minor modifications to an existing path tracer. Combined with the most recent advances in ray-tracing hardware and denoising algorithms, our work enables performing high-quality light transport simulations including complex visibility and transport phenomena in real time.