The Madden–Julian Oscillation (MJO) is the dominant source of sub-seasonal variability in the tropics. It consists of an Eastward moving region of enhanced convection coupled to changes in zonal winds. It is not possible to predict the precise evolution of the MJO, so sub-seasonal forecasts are generally probabilistic. We present a deep convolutional neural network (CNN) that produces skilful state-dependent probabilistic MJO forecasts. Importantly, the CNN’s forecast uncertainty varies depending on the instantaneous predictability of the MJO. The CNN accounts for intrinsic chaotic uncertainty by predicting the standard deviation about the mean, and model uncertainty using Monte-Carlo dropout. Interpretation of the CNN mean forecasts highlights known MJO mechanisms, providing confidence in the model. Interpretation of forecast uncertainty indicates mechanisms governing MJO predictability. In particular, we find an initially stronger MJO signal is associated with more uncertainty, and that MJO predictability is affected by the state of the Walker Circulation.