The contribution deals with the probability theory on Intuitionistic Fuzzy Sets (IF-sets, [1]). It can be considered as a generalization of the classical probability theory on σ-algebras of sets. From the large field of operations with IF-sets we use Gödel connectives [5]. We focus on the conditional expectation: the aim is to formulate the definition of the conditional expectation of an IF-observable and prove the version of martingale convergence theorem.