Bayes' rule describes how to infer posterior beliefs about latent variables given observations, and inference is a critical step in learning algorithms for latent variable models (LVMs). Although there are exact algorithms for inference and learning for certain LVMs such as linear Gaussian models and mixture models, researchers must typically develop approximate inference and learning algorithms when applying novel LVMs. In this paper we study the line that separates LVMs that rely on approximation schemes from those that do not, and develop a general theory of exponential family, latent variable models for which inference and learning may be implemented exactly. Firstly, under mild assumptions about the exponential family form of a given LVM, we derive necessary and sufficient conditions under which the LVM prior is in the same exponential family as its posterior, such that the prior is conjugate to the posterior. We show that all models that satisfy these conditions are constrained forms of a particular class of exponential family graphical model. We then derive general inference and learning algorithms, and demonstrate them on a variety of example models. Finally, we show how to compose our models into graphical models that retain tractable inference and learning. In addition to our theoretical work, we have implemented our algorithms in a collection of libraries with which we provide numerous demonstrations of our theory, and with which researchers may apply our theory in novel statistical settings.