We introduce a family of Finsler metrics, called the L p -Fisher-Rao metrics Fp, for p ∈ (1, ∞), which generalizes the classical Fisher-Rao metric F2, both on the space of densities Dens+(M ) and probability densities Prob(M ). We then study their relations to the Amari-Cencov α-connections ∇ (α) from information geometry: on Dens+(M ), the geodesic equations of Fp and ∇ (α) coincide, for p = 2/(1 − α). Both are pullbacks of canonical constructions on L p (M ), in which geodesics are simply straight lines. In particular, this gives a new interpretation of α-geodesics as being energy minimizing curves. On Prob(M ), the Fp and ∇ (α) geodesics can still be thought as pullbacks of natural operations on the unit sphere in L p (M ), but in this case they no longer coincide unless p = 2. On this space we show that geodesics of the α-connections are pullbacks of projections of straight lines onto the unit sphere, and they cease to exists when they leave the positive part of the sphere. This unveils the geometric structure of solutions to the generalized Proudman-Johnson equations, and generalizes them to higher dimensions. In addition, we calculate the associate tensors of Fp, and study their relation to ∇ (α) .