The first part of the paper is devoted to the classification of the statistical structures which live on the tangent bundle of a statistical manifold endowed with a Sasaki metric. Further, considering a Kähler structure on the base statistical manifold, we introduce a family of almost complex structures on the tangent bundle equipped with the Sasaki metric, and find equivalent conditions for which this family induces a Kähler structure. Finally, we derive equivalent conditions for existence of holomorphic structures on the tangent bundle equipped with the Sasaki metric in the presence of a statistical structure. Several illustrative examples are provided, as well.