Recently, Convolutional Neural Networks (CNNs) have dominated the field of computer vision. Their widespread success has been attributed to their representation learning capabilities. For classification tasks, CNNs have widely employed probabilistic output and have shown the significance of providing additional confidence for predictions. However, such probabilistic methodologies are not widely applicable for addressing regression problems using CNNs, as regression involves learning unconstrained continuous and, in many cases, multi-variate target variables. We propose a PRObabilistic Parametric rEgression Loss (PROPEL) that enables probabilistic regression using CNNs. PROPEL is fully differentiable and, hence, can be easily incorporated for end-to-end training of existing regressive CNN architectures. The proposed method is flexible as it learns complex unconstrained probabilities while being generalizable to higher dimensional multi-variate regression problems. We utilize a PROPEL-based CNN to address the problem of learning hand and head orientation from uncalibrated color images. Comprehensive experimental validation and comparisons with existing CNN regression loss functions are provided. Our experimental results indicate that PROPEL significantly improves the performance of a CNN, while reducing model parameters by 10x as compared to the existing state-of-the-art.