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In this paper, we investigate the problem of hyperspectral (HS) image spatial super-resolution via deep learning. Particularly, we focus on how to embed the high-dimensional spatial-spectral information of HS images efficiently and effectively. Specifically, in contrast to existing methods adopting empirically-designed network modules, we formulate HS embedding as an approximation of the posterior distribution of a set of carefully-defined HS embedding events, including layer-wise spatial-spectral feature extraction and network-level feature aggregation. Then, we incorporate the proposed feature embedding scheme into a source-consistent super-resolution framework that is physically-interpretable, producing lightweight PDE-Net, in which high-resolution (HR) HS images are iteratively refined from the residuals between input low-resolution (LR) HS images and pseudo-LR-HS images degenerated from reconstructed HR-HS images via probability-inspired HS embedding. Extensive experiments over three common benchmark datasets demonstrate that PDE-Net achieves superior performance over state-of-the-art methods. Besides, the probabilistic characteristic of this kind of networks can provide the epistemic uncertainty of the network outputs, which may bring additional benefits when used for other HS image-based applications. The code will be publicly available at https://github.com/jinnh/PDE-Net.