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Deep neural networks have made breakthroughs in a wide range of visual understanding tasks. A typical challenge that hinders their real-world applications is that unknown samples may be fed into the system during the testing phase, but traditional deep neural networks will wrongly recognize these unknown samples as one of the known classes. Open set recognition (OSR) is a potential solution to overcome this problem, where the open set classifier should have the flexibility to reject unknown samples and meanwhile maintain high classification accuracy in known classes. Probabilistic generative models, such as Variational Autoencoders (VAE) and Adversarial Autoencoders (AAE), are popular methods to detect unknowns, but they cannot provide discriminative representations for known classification. In this paper, we propose a novel framework, called Conditional Probabilistic Generative Models (CPGM), for open set recognition. The core insight of our work is to add discriminative information into the probabilistic generative models, such that the proposed models can not only detect unknown samples but also classify known classes by forcing different latent features to approximate conditional Gaussian distributions. We discuss many model variants and provide comprehensive experiments to study their characteristics. Experiment results on multiple benchmark datasets reveal that the proposed method significantly outperforms the baselines and achieves new state-of-the-art performance.