The Gravity Recovery and Climate Experiment (GRACE) satellite and its successor GRACE Follow-On (GRACE-FO) provide valuable and accurate observations of terrestrial water storage anomalies (TWSAs) at a global scale. However, there is an approximately one-year observation gap of TWSAs between GRACE and GRACE-FO. This poses a challenge for practical applications, as discontinuity in the TWSA observations may introduce significant biases and uncertainties in the hydrological model predictions and consequently mislead decision making. To tackle this challenge, a Bayesian convolutional neural network (BCNN) driven by climatic data is proposed in this study to bridge this gap at a global scale. Enhanced by integrating recent advances in deep learning, including the attention mechanisms and the residual and dense connections, BCNN can automatically and efficiently extract important features for TWSA predictions from multi-source input data. The predicted TWSAs are compared to the hydrological model outputs and three recent TWSA prediction products. The comparison suggests the superior performance of BCNN in providing improved predictions of TWSAs during the gap in particular in the relatively arid regions. The BCNN's ability to identify the extreme dry and wet events during the gap period is further discussed and comprehensively demonstrated by comparing with the precipitation anomalies, drought index, ground/surface water levels. Results indicate that BCNN is capable of offering a reliable solution to maintain the TWSA data continuity and quantify the impacts of climate extremes during the gap.