With the wide application of gas turbine and power-to-gas (P2G) equipment, the electricity network and natural gas network are coupled more tightly. With the continuous improvement of new energy penetration, the variables are needed to be investigated in the coupled system considering random fluctuations emerge. In this paper, the probabilistic energy flow model of the integrated electricity-gas energy system (IEGES) with wind power is established. Considering the influence of various uncertain factors, the distribution of state variables are obtained by using the cumulant method and Gram-Chailier expansion. The validity of the proposed model and the cumulant method are verified by the analytic results of the case. In the IEGES, P2G technology can promote the consumption of wind power from grid by conversing it to natural gas stored in the gas network. So, P2G technology reduces the impact of wind power integration on power system security.