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Deep learning has been widely used to invert geophysical properties due to the availability of training data and an increased computing power. In particular, Bayesian deep learning is commonly applied to estimate the uncertainty of rock properties, which is essential for risk management and decision‐making. However, the selection of appropriate prior parameters, such as the standard deviation in the Gaussian prior distribution placed on neural parameters including neural weights and biases, is crucial for training Bayesian neural networks (BNN), as it significantly impacts the prediction performance of the trained models. In this research, we introduce a hierarchical structure to the BNN, and the mean and standard deviation in the Gaussian prior placed on neural parameters are randomly drawn from hyper‐priors, thus excluding the preliminary tuning runs with trial values. Compared to traditional BNN, a consistent prediction accuracy is achieved with an estimate of aleatoric and epistemic uncertainties when using the hierarchical Bayesian networks with different hyper‐priors, thereby making them more robust against the choice of prior parameters. In addition, we apply the statistical sampling technique to reduce the overall size of the training data, which can proportionally decrease the training time of the deep learning models when large amounts of training data are available.