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A methodology for a comprehensive probabilistic tsunami hazard analysis is presented for the major sources of tsunamis (seismic events, landslides, and volcanic activity) and preliminarily applied in the Gulf of Naples (Italy). The methodology uses both a modular procedure to evaluate the tsunami hazard and a Bayesian analysis to include the historical information of the past tsunami events. In the urn:x-wiley:jgrc:media:jgrc23818:jgrc23818-math-0001 the submarine earthquakes and the submarine mass failures are initially identified in a gridded domain and defined by a set of parameters, producing the sea floor deformations and the corresponding initial tsunami waves. Differently volcanic tsunamis generate sea surface waves caused by pyroclastic density currents from Somma‐Vesuvius. In the urn:x-wiley:jgrc:media:jgrc23818:jgrc23818-math-0002 the tsunami waves are simulated and propagated in the deep sea by a numerical model that solves the shallow water equations. In the urn:x-wiley:jgrc:media:jgrc23818:jgrc23818-math-0003 the tsunami wave heights are estimated at the coast using the urn:x-wiley:jgrc:media:jgrc23818:jgrc23818-math-0004's amplification law. The selected tsunami intensity is the wave height. In the urn:x-wiley:jgrc:media:jgrc23818:jgrc23818-math-0005 the probabilistic tsunami analysis computes the long‐term comprehensive Bayesian probabilistic tsunami hazard analysis. In the prior analysis the probabilities from the scenarios in which the tsunami parameter overcomes the selected threshold levels are combined with the spatial, temporal, and frequency‐size probabilities of occurrence of the tsunamigenic sources. The urn:x-wiley:jgrc:media:jgrc23818:jgrc23818-math-0006 probability density functions are integrated with the urn:x-wiley:jgrc:media:jgrc23818:jgrc23818-math-0007 derived from the historical information based on past tsunami data. The urn:x-wiley:jgrc:media:jgrc23818:jgrc23818-math-0008 probability density functions are evaluated to produce the hazard curves in selected sites of the Gulf of Naples.