AbstractCapturing the uncertainty in probabilistic wind power forecasts is challenging, especially when uncertain input variables, such as the weather, play a role. Since ensemble weather predictions aim to capture the uncertainty in the weather system, they can be used to propagate this uncertainty through to subsequent wind power forecasting models. However, as weather ensemble systems are known to be biassed and underdispersed, meteorologists post‐process the ensembles. This post‐processing can successfully correct the biasses in the weather variables but has not been evaluated thoroughly in the context of subsequent forecasts, such as wind power generation forecasts. The present paper evaluates multiple strategies for applying ensemble post‐processing to probabilistic wind power forecasts. We use Ensemble Model Output Statistics (EMOS) as the post‐processing method and evaluate four possible strategies: only using the raw ensembles without post‐processing, a one‐step strategy where only the weather ensembles are post‐processed, a one‐step strategy where we only post‐process the power ensembles and a two‐step strategy where we post‐process both the weather and power ensembles. Results show that post‐processing the final wind power ensemble improves forecast performance regarding both calibration and sharpness whilst only post‐processing the weather ensembles does not necessarily lead to increased forecast performance.