In the coming years, a new generation of sky surveys, in particular, Euclid Space Telescope (2022), and the Rubin Observatory’s Legacy Survey of Space and Time (LSST, 2023) will discover more than 200,000 new strong gravitational lenses, which represents an increase of more than two orders of magnitude compared to currently known sample sizes. Accurate and fast analysis of such large volumes of data under a robust statistical framework is therefore crucial for all sciences enabled by strong lensing. Here, we report on the application of simulation-based inference methods, in particular, density estimation techniques, to the predictions of the set of parameters of strong lensing systems from neural networks. This allows us to explicitly impose desired priors on lensing parameters, while guaranteeing convergence to the optimal posterior in the limit of perfect performance.