The article describes the approach based on the Bayesian networks for construction of probabilistic scenarios to simulate extreme situations in the energy sector. The paper proves the feasibility of using Bayesian networks to simulate energy security threats caused by the implementation of cyber threats. The main components of the scenario and their interrelations are described. The main stages of modeling extreme situations in the energy sector are determined. The position of the scenario approach in the main stages of identifying critical objects in the case of energy is recognized.