requests
does not handle parsing XML responses, no. XML responses are much more complex in nature than JSON responses, how you'd serialize XML data into Python structures is not nearly as straightforward.
Python comes with built-in XML parsers. I recommend you use the ElementTree API:
import requests
from xml.etree import ElementTree
response = requests.get(url)
tree = ElementTree.fromstring(response.content)
or, if the response is particularly large, use an incremental approach:
response = requests.get(url, stream=True)
# if the server sent a Gzip or Deflate compressed response, decompress
# as we read the raw stream:
response.raw.decode_content = True
events = ElementTree.iterparse(response.raw)
for event, elem in events:
# do something with `elem`
The external lxml project builds on the same API to give you more features and power still.