Event Argument Extraction (EAE) aims at predicting event argument roles of entities in text, which is a crucial subtask and bottleneck of event extraction. Existing EAE methods either extract each event argument roles independently or sequentially, which cannot adequately model the joint probability distribution among event arguments and their roles. In this paper, we propose a Bayesian model named Neural Gibbs Sampling (NGS) to jointly extract event arguments. Specifically, we train two neural networks to model the prior distribution and conditional distribution over event arguments respectively and then use Gibbs sampling to approximate the joint distribution with the learned distributions. For overcoming the shortcoming of the high complexity of the original Gibbs sampling algorithm, we further apply simulated annealing to efficiently estimate the joint probability distribution over event arguments and make predictions. We conduct experiments on the two widely-used benchmark datasets ACE 2005 and TAC KBP 2016. The Experimental results show that our NGS model can achieve comparable results to existing state-of-the-art EAE methods. The source code can be obtained from https://github.com/THU-KEG/NGS.