Deep neural networks of deep learning algorithms can be applied into regressions and classifications. While the regression performances and classification performances of the deep neural networks are depending on the hyper-parameters of the deep neural networks. To mitigate the adverse effect of the hyper-parameters for the deep learning algorithms, this paper proposes deep forest regression for the short-term load forecasting of power systems. Deep forest regression includes two procedures, i.e., multi-grained scanning procedure and cascade forest procedure. These two procedures can be effectively trained by two completely random forests and two random forests with the default configuration. Then, the deep forest regression is applied into the short-term load forecasting of power systems. The forecasting performances of deep forest regression are compared with that of numerous intelligent algorithms and conventional regression algorithms under the model with the data of previous 7-day, 21-day, and 40-day. Besides, the forecasting performances of deep forest regression with different parameters are compared. The numerical results show that the deep forest regression with default configured parameters can increase the accuracy of the short-term forecasting and mitigate the influences of the experiences for the configuration of the hyper-parameters of deep learning model.