Probabilistic forecasting is receiving growing attention nowadays in a variety of applied fields, including hydrology. Several machine learning concepts and methods are notably relevant to formalizing and optimizing probabilistic forecasting implementations by addressing the relevant challenges. Nonetheless, practically-oriented reviews focusing on such concepts and methods are currently missing from the probabilistic hydrological forecasting literature. This absence holds despite the pronounced intensification in the research efforts for benefitting from machine learning in this same literature, and despite the substantial relevant progress that has recently emerged, especially in the field of probabilistic hydrological post-processing, which traditionally provides the hydrologists with probabilistic hydrological forecasting implementations. Herein, we aim to fill this specific gap. In our review, we emphasize key ideas and information that can lead to effective popularizations of the studied concepts and methods, as such an emphasis can support successful future implementations and further scientific developments in the field. In the same forward-looking direction, we identify open research questions and propose ideas to be explored in the future.