Owing to a higher energy supply efficiency and operational flexibility, integrated energy system (IES), including power, heating and gas systems, will be the primary form of energy supply in the future. However, with the increase of large-scale stochastic wind power integrated, the IES planning will face a significant challenge as traditional power system. Therefore, a probability-interval based IES planning considering wind power integrated is proposed in this paper. Firstly, a conditional value-at-risk (CVaR) based probability-interval method is developed to describe the uncertain wind power. Secondly, besides traditional facilities, electricity storage system (ESS) is introduced to improve the flexibility of IES. Then, an expansion planning model for IES is established to minimize the total cost including investment, operation, CVaR cost and unserved energy cost. Moreover, the piecewise linearization method is used to deal with the nonlinear integral terms of the proposed model to improve the solution efficiency. Finally, IEEE14-NGS14 and IEEE118-NGS40 systems are constructed and the planning model is solved by GAMS/CPLEX. The numerical results illustrate the correctness and effectiveness of the proposed method.