This paper presents a systematic introduction to the development of a specific topic in power engineering, probabilistic analysis of small-signal stability of power systems. The paper firstly reviews the problem of small-signal stability of power systems and its significant demand for probabilistic analysis. Then the framework of probabilistic analysis of small-signal stability is introduced. Three types of methodologies developed in the past several decades to apply the probabilistic analysis of small-signal stability are presented afterwards, with the aim to show their detailed procedures and distinct characteristics among different approaches. In addition, the applications of probabilistic analysis of small-signal stability in several aspects of power systems are summarized. A comprehensive list of relevant literature is accommodated in the end. (8 pages)