This paper presents a Monte Carlo based probabilistic methodology of evaluating the oscillatory stability margin of power system with large-scale wind generation. The approach considers not only the stochastic characteristics of wind speeds which are treated as random variables with Weibull distributions, while also the wind speed spatial correlations which are modeling by Nataf transformation. A case study is carried out on IEEE New England system and the probabilistic indices for OSM are computed from the statistical processing of the obtained results. The results indicate that the OSM obtained by deterministic study cannot guarantee the system being surely oscillatory stable, but stable with a given risk of oscillatory instability. It is shown that, for the cases studied, wind penetration and wind speed correlation detrimentally affects the OSM.