For dynamic reliability design of complex structures with multiple components, an improved weighted regression distributed collaborative surrogate model method (IWRDCSMM) is developed from the extremum response surface method (ERSM), decomposed-coordinated thought, and improved weighted regression principle. e ERSM is used to address the dynamic reliability and sensitivity analyses of multicomponent structures and enhance the computing efficiency. e decomposedcoordinated thought is applied to handle the relationship among multiple components. e improved weighted regression method is used to find the efficient samples with smaller errors to improve the modeling accuracy. e proposed method is first introduced for dynamic probabilistic analysis (including reliability analysis and sensitivity analysis) of multicomponent structures. e method is then mathematically modeled by adopting the efficient samples selected based on the improved weighted regression method. Finally, the radial deformation dynamic probabilistic analysis of an aeroengine turbine blisk assembled by blade and disk is accomplished, in respect of the IWRDCSMM, fluid-thermal-structure interaction, and the randomness of input parameters within the time domain [0, T]. e results illustrate that the reliability degree of turbine blisk radial deformation is 0.9951 when the allowable value u allow is 2.30 × 10 −3 m, and all the input parameters affecting the turbine blisk radial deformation are gas temperature, angular speed, inlet velocity, outlet pressure, material density, and inlet pressure, successively. As revealed by the comparison of different methods, the IWRDCSMM has high fitting speed and simulation efficiency with the guarantee of accuracy. e efforts of this study provide a promising dynamic probabilistic analysis technique for complex structures with multiple components and enrich mechanical reliability theory.