Probabilistic power flow (PPF) is an effective tool to address the increasing uncertainties in power systems. However, the high computational burden restricts the practical application of PPF. Deep neural network (DNN) can achieve the fast calculation of PPF. However, the structure of DNN should match the size of the system. With the development of renewable energy and power demand, new buses or branches would be added to the system. Under this circumstance, the trained‐DNN for the original system cannot be applied to the extended system. To improve the scalability of DNN for the extended system, a knowledge transfer method is proposed in this paper, which transfers the knowledge acquired by the original trained‐DNN to the new DNN. The following two main features are contained: 1) parameters of input and output layers are transferred to initialize parts of parameters in the new DNN according to the variable with which they are connected; 2) remaining parameters of input and output layers are initialized based on the non‐parametric estimation. Simulation tests are performed on the modified IEEE 39‐bus system and 118‐bus system and the results show that the proposed method can improve the training efficiency of new DNN and reduce the dependence on training samples.