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• This paper explores probabilistic extensions to Deep Learning algorithms and their application on energy time series forecasting. • The methods tested are concrete Dropouts, deep Ensembles, bayesian neural Networks, deep gaussian Processes, and functional neural processes. • The methods are evaluated in terms of calibration, sharpness, and how well they indicate a lack of knowledge (Epistemic Uncertainty). • Good epistemic uncertainty estimates were given using functional neural Processes, deep Ensembles, and deep gaussian processes methods, while concrete dropouts and bayesian neural networks needed tunning for better performance. • The application of the methods was feasible for energy time series forecasting, and they produced good estimates of their confidence in a forecast. Deep Learning methods are widely successful and continue to be applied in new fields, including forecasting for energy time series. However, they lack an indication of their confidence in predictions, which helps evaluate, interpret, and improve the forecasting. This paper explores probabilistic extensions to Deep Learning algorithms and their application on energy time series forecasting. The methods tested are Concrete Dropouts, Deep Ensembles, Bayesian Neural Networks, Deep Gaussian Processes, and Functional Neural Processes. For evaluation, two load forecasting scenarios are considered: 1-hour-ahead and 24-hour-ahead load forecasting. The methods are evaluated in terms of calibration, sharpness, and how well they indicate a lack of knowledge (Epistemic Uncertainty). As a reference, simple Neural Network and Quantile Regression models are used. Also, the ARIMA model and Persistence model are implemented to compare the results. Root Mean Squared Error (RMSE), Mean Absolute Percentage Error (MAPE), and Continuous Ranked Probability Score (CRPS) are computed to measure the error performance. Based on endogenous load time series in Germany, the results showed that Concrete Dropout, Deep Ensembles, and Bayesian Neural Networks performed similarly well and better than the reference methods. They also indicated that the simpler Concrete Dropout and Deep Ensembles have an advantage in both speed and convergence time. Good Epistemic Uncertainty estimates were given using Functional Neural Processes, Deep Ensembles, and Deep Gaussian Processes methods, while Concrete dropouts and Bayesian Neural Networks needed tunning for better performance. The application of the methods was feasible for energy time series forecasting, and they produced good estimates of their confidence in a forecast. [ABSTRACT FROM AUTHOR]