Probability interpretations play an important role in understanding decision makers’ (DMs) behaviour in decision making. In this paper, we extend hesitant fuzzy sets to probability-hesitant fuzzy sets (P-HFSs) to enhance their modeling ability by taking DMs’ probabilistic preferences into consideration. Based on P-HFSs, we propose the concept of probability-hesitant fuzzy preference relation (P-HFPR) to collect the preferences. We then develop a consensus index to measure the consensus degrees of P-HFPR, and a stochastic method to improve the consensus degrees. All these results are essential for further research on P-HFSs.