Presently, in several countries, the wind and solar power capacity connected to the distribution network is increasing steadily. In parallel, the investment in smart grid technologies is growing, which will support the integration of renewable energy and represents an opportunity to develop advanced management functions. Forecasting is a key input for several management functions of distribution system operators (DSOs).This chapter describes modeling approaches allowing to take advantage of the wealth of power measurements available in near real‐time in a smart grid context [e.g., smart meters and SCADA (supervisory control and data acquisition) system], in order to improve the quality of renewable energy forecasting in a computationally efficient manner. As a basis, the power generation vector is to be considered as a multivariate one, that is, by simultaneously focusing on all sites of interest, instead of trying to build and estimate models at every location, individually. Two real‐world test cases with wind and solar generation are used to show the improvement in accuracy from exploring distributed information in a probabilistic forecasting framework.