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We introduce a suite of path sampling methods for differentiable rendering of scene parameters that do not induce visibility-driven discontinuities, such as BRDF parameters. We begin by deriving a path integral formulation for differentiable rendering of such parameters, which we then use to derive methods that importance sample paths according to this formulation. Our methods are analogous to path tracing and path tracing with next event estimation for primal rendering, have linear complexity, and can be implemented efficiently using path replay backpropagation. Our methods readily benefit from differential BRDF sampling routines, and can be further enhanced using multiple importance sampling and a loss-aware pixel-space adaptive sampling procedure tailored to our path integral formulation. We show experimentally that our methods reduce variance in rendered gradients by potentially orders of magnitude, and thus help accelerate inverse rendering optimization of BRDF parameters.