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Abstract Subgrid‐scale processes, such as atmospheric gravity waves (GWs), play a pivotal role in shaping the Earth's climate but cannot be explicitly resolved in climate models due to limitations on resolution. Instead, subgrid‐scale parameterizations are used to capture their effects. Recently, machine learning (ML) has emerged as a promising approach to learn parameterizations. In this study, we explore uncertainties associated with a ML parameterization for atmospheric GWs. Focusing on the uncertainties in the training process (parametric uncertainty), we use an ensemble of neural networks to emulate an existing GW parameterization. We estimate both offline uncertainties in raw NN output and online uncertainties in climate model output, after the neural networks are coupled. We find that online parametric uncertainty contributes a significant source of uncertainty in climate model output that must be considered when introducing NN parameterizations. This uncertainty quantification provides valuable insights into the reliability and robustness of ML‐based GW parameterizations, thus advancing our understanding of their potential applications in climate modeling.