arXiv:2510.03419v3 Announce Type: replace-cross Abstract: Neural diffusion processes provide a scalable, non-Gaussian approach to modelling distributions over functions, but existing formulations are limited to single-task inference and do not capture dependencies across related tasks. We propose multi-task neural diffusion processes (MT-NDPs), an extension that incorporates a task encoder to enable task-conditioned probabilistic regression and few-shot adaptation across related functions. The task encoder extracts a low-dimensional representation from context observations and conditions the diffusion model on this representation, allowing information sharing across tasks while accommodating variable-sized context sets and preserving permutation invariance with respect to the ordering of context observations. We evaluate MT-NDPs through synthetic experiments and two real-world applications involving wind turbine data and school examination outcomes. The results demonstrate improved predictive accuracy relative to single-task diffusion baselines when context observations are available, alongside competitive performance against neural-process and Gaussian-process alternatives. In the wind-energy application, MT-NDPs achieve the lowest average coverage error among the evaluated models at larger context sizes, demonstrating improved predictive uncertainty calibration. Overall, our findings highlight the potential of task-conditioned diffusion models for uncertainty-aware multi-task regression and few-shot adaptation to previously unseen tasks.