With the development of Big Data technology, the power industry has also entered the data-driven intelligence era. Cloud computing-based smart grids give the power industry stronger capabilities in data analytics. Electricity load forecasting in the cloud helps smart grids allocate resources appropriately. However, the users’ privacy is easily compromised in the load forecasting process with cloud computing. The electricity usage data collected by the system may contain sensitive information about the users, which could lead to serious privacy leakage. In order to solve the issues, we propose a novel privacy-preserving cloud-aided load forecasting scheme for the cloud computing-based smart grid. It contains a secure online training algorithm and an efficient real-time forecasting algorithm. Meanwhile, the two-party interaction security scheme is more suitable for real-world applications. Before being sent to the cloud server, the control center of the smart grids encrypts the data using homomorphic encryption. During the process of model training and forecasting, the data remains securely encrypted at all times to avoid the risk of data privacy breaches. Finally, security and experimental analyses show that our scheme effectively avoids privacy leakage while reducing resource consumption.