There is an SDK for Python, but I haven't had an opportunity to try it. If anyone has used it I would love to hear about your experience.
That said, I've noticed that powershell seems to get priority with Azure support before the azure-Cli client, so there are a few gaps here and there. I've been told that the Azure REST APIs are all in step with Powershell support, but sometimes go in documented unfortunately.
The Azure REST API requires a ton of deeply nested JSON data structures. Take a look at this [1] sample. I just can't bring myself to work with that every day.
I really need to buckle down and try that python API.
[1] https://msdn.microsoft.com/en-us/library/azure/mt163591.aspx
Also, for PS and CLI the code is in GitHub :)