Under the high-dimensional and nonlinear stochastic power system environment, artificial intelligence (AI) is becoming a promising alternative to the urgent demand for probabilistic power flow (PPF). However, traditional AI only learns from experiences in data and is unable to satisfy physical constraints. This may result in an undesired infeasible inference for PPF. To solve this issue, a physics-guided graph neural network (PG-GNN)-based PPF analysis method is proposed. At the outset, alternating current power flow equation is analyzed to produce gradients for connecting physical component and AI. The proposed PG-GNN then incorporates the sensitivities into the training tensor graph such that it enables in-depth physical learning. At the same time, the GNN serves to enhance generalizability in varying topology. The well-trained PG-GNN is finally leveraged to surrogate traditional power flow solver in Monte-Carlo method, such that real-time PPF is realized. Numerical tests on benchmarks demonstrate that, in unseen scenarios, the proposed method enables only little gap versus the exact baseline, but beats other rivals with over tenfold computing efficiency. Moreover, comparisons with traditional AIs manifest that our method holds better generalizability.