Using the Luchko’s general fractional calculus (GFC) and its extension in the form of the multi-kernel general fractional calculus of arbitrary order (GFC of AO), a nonlocal generalization of probability is suggested. The nonlocal and general fractional (CF) extensions of probability density functions (PDFs), cumulative distribution functions (CDFs) and probability are defined and its properties are described. Examples of general nonlocal probability distributions of AO are considered. An application of the multi-kernel GFC allows us to consider a wider class of operator kernels and a wider class of nonlocality in the probability theory.