The researches on theory and application of climatic probability distribution have been made great advances along with the increasing global warming and climate change studies. A brief summary is made of advances in theory and application of climatic probability distribution from the following aspects: the distribution fitting of observational data; the formation mechanisms of climatic probability distribution; indication of climatic change: changes of probability distribution; climate extreme distribution models under global climate change; and the climatic probability distribution models of climatic variables in various spatial domains.