The concept of covering of probabilistic finite automata was introduced, covering relationship on several kinds of products of probabilistic finite automata, such as full direct product(restricted direct product), cascade product, wreath product and join were discussed, it was proved that the cascade product(restricted direct product) of two probabilistic finite automata covered their wreath product(full direct product), full direct product of wreath product of probabilistic finite automata covered their wreath product of full direct product, the relations between weak homomorphism of probabilistic finite automata and covering of probabilistic finite automata were given, transitivity of covering of product of probabilistic finite automata were investigated.