At present, although some academicians import the concept of fuzzy reliability into reliability analysis of geomechanical engineering, there still are some questions to be solved; in which the how to calculate the membership function is very important; since it is a precondition to calculate the fuzzy reliability. The different choosing of membership function will conduce to different results, even the difference is greatly obvious. Aiming at this actuality, the authors studied the influence of choosing different membership function on the fuzzy probability calculative results. We choose three representative membership functions: descending semi-trapezia distribution, quadratic parabola distribution and ridge distribution. The difference of fuzzy probability calculating caused by these three different distributions is analyzed theoretically; and then some general criterion about how to choose the membership function for calculating the fuzzy probability of underground continuous wall is concluded. Finally, an engineering example is given to verify the analysis and calculative results are consistent with the theoretical analysis.