We study uncertainties in the equation of state of neutron stars using conformal prediction as a distribution-free and model-agnostic method that provides coverage guarantees. In particular, we apply the Conformalized Quantile Regression (CQR) method to posterior samples calculated from Bayesian inference, creating reliable uncertainty bands without assuming a specific form of the underlying distribution. We first construct CQR bands using a polytropic equation of state and the Tolman–Oppenheimer–Volkoff equations. We then apply CQR as a postprocessing step to the posterior samples of neutron star mass-radius relations provided by the NMMA collaboration and to Quantum Monte Carlo calculations of pure neutron matter. In all cases, empirical coverage studies confirm the robustness of the method.