Robotic applications often involve working in environments that are uncertain, dynamic, and partially observable. Recently, diffusion models have been proposed for learning trajectory prediction models trained from expert demonstrations, which can be used for planning in robot tasks. Such models have demonstrated a strong ability to overcome challenges such as multi-modal action distributions, high-dimensional output spaces, and training instability. It is crucial to quantify the uncertainty of these dynamics models when using them for planning. In this paper, we quantify the uncertainty of diffusion dynamics models using Conformal Prediction (CP). Given a finite number of exchangeable expert trajectory examples (called the “calibration set”), we use CP to obtain a set in the trajectory space (called the “coverage region”) that is guaranteed to contain the output of the diffusion model with a user-defined probability (called the “coverage level”). In PlanCP, inspired by concepts from conformal prediction, we modify the loss function for training the diffusion model to include a quantile term to encourage more robust performance across the variety of training examples. At test time, we then calibrate PlanCP with a conformal prediction process to obtain coverage sets for the trajectory prediction with guaranteed coverage level. We evaluate our algorithm on various planning tasks and model-based offline reinforcement learning tasks and show that it reduces the uncertainty of the learned trajectory prediction model. As a by-product, our algorithm PlanCP outperforms prior algorithms on existing offline RL benchmarks and challenging continuous planning tasks. Our method can be combined with most model-based planning approaches to produce uncertainty estimates of the closed-loop system.