As an enhanced version of probabilistic hesitant fuzzy sets and dual hesitant fuzzy sets, probabilistic dual hesitant fuzzy sets (PDHFSs) combine probabilistic information with the membership degree and non-membership degree, which can describe decision making information more reasonably and comprehensively. Based on PDHFSs, this paper investigates the approach to group decision making (GDM) based on incomplete probabilistic dual hesitant fuzzy preference relations (PDHFPRs). First, the definitions of order consistency and multiplicative consistency of PDHFPRs are given. Then, for the problem that decision makers (DMs) cannot provide the reasonable associated probabilities of probabilistic dual hesitant fuzzy elements (PDHFEs), the calculation method of the associated probability is given by using an optimal programming model. Furthermore, the consistency level for PDHFPRs is tested according to the weighted consistency index defined by the risk attitude of DMs. In addition, a convergent iterative algorithm is proposed to enhance the unacceptable consistent PDHFPRs’ consistency level. Finally, a GDM approach with incomplete PDHFPRs is established to obtain the ranking of the alternatives. The availability and rationality of the proposed decision making approach are demonstrated by analyzing the impact factors of haze weather.