The probabilistic fuzzy set (PFS) is designed for handling the uncertainties in both stochastic and nonstochastic nature. However, the previous probabilistic fuzzy set is constructed through randomizing the center of the symmetric fuzzy set, and the asymmetric probabilistic fuzzy set is higher than symmetric one’s in variability and malleability. So in this paper, an asymmetry-center probabilistic fuzzy set is proposed by randomly varying the center of asymmetric Gaussian membership function. Then the PFLS with this asymmetric probabilistic fuzzy set is constructed and applied to forecasting of pledging by warehouse receipt financing in agricultural products. The results show that the asymmetry-center probabilistic fuzzy set improves the accuracy of such system. This work will broaden the application of the probabilistic fuzzy set.