This paper presents the development of a probabilistic multi-model ensemble of statistically downscaled future projections of precipitation of a watershed in New Zealand. Climate change research based on the point estimates of a single model is considered less reliable for decision making, and multiple realizations of a single model or outputs from multiple models are often preferred for such purposes. Similarly, a probabilistic approach is preferable over deterministic point estimates. In the area of statistical downscaling, no single technique is considered a universal solution. This is due to the fact that each of these techniques has some weaknesses, owing to its basic working principles. Moreover, watershed scale precipitation downscaling is quite challenging and is more prone to uncertainty issues than downscaling of other climatological variables. So, multi-model statistical downscaling studies based on a probabilistic approach are required. In the current paper, results from the three well-reputed statistical downscaling methods are used to develop a Bayesian weighted multi-model ensemble. The three members of the downscaling ensemble of this study belong to the following three broad categories of statistical downscaling methods: (1) multiple linear regression, (2) multiple non-linear regression, and (3) stochastic weather generator. The results obtained in this study show that the new strategy adopted here is promising because of many advantages it offers, e.g. it combines the outputs of multiple statistical downscaling methods, provides probabilistic downscaled climate change projections and enables the quantification of uncertainty in these projections. This will encourage any future attempts for combining the results of multiple statistical downscaling methods. Copyright © 2011 John Wiley & Sons, Ltd.