I have a Python program that needs to access a Java RMI API from a third party system in order to fetch some data. 
I have no control over the third party system so it MUST be done using RMI.
What should be my approach here? I have never worked with RMI using Python so I'm kind of lost as to what I should do..
Thanks in advance!
You're going to have a very hard time i would imagine.  RMI and Java serialization are very Java specific.  I don't know if anyone has already attempted to implement this in python (i'm sure google knows), but your best bet would be to find an existing library.
That aside, i would look at finding a way to do the RMI in some client side java shim (maybe some sort of python<->java bridge library?).  Or, maybe you could run your python in Jython and leverage the underlying jvm to handle the RMI stuff.
Accessing a Java RMI API from Python program