Soft targets combined with the cross-entropy loss have shown to improve generalization performance of deep neural networks on supervised classification tasks. The standard cross-entropy loss however assumes data to be categorically distributed, which may often not be the case in practice. In contrast, InfoNCE does not rely on such an explicit assumption but instead implicitly estimates the true conditional through negative sampling. Unfortunately, it cannot be combined with soft targets in its standard formulation, hindering its use in combination with sophisticated training strategies. In this paper, we address this limitation by proposing a loss function that is compatible with probabilistic targets. Our new soft target InfoNCE loss is conceptually simple, efficient to compute, and can be motivated through the framework of noise contrastive estimation. Using a toy example, we demonstrate shortcomings of the categorical distribution assumption of cross-entropy, and discuss implications of sampling from soft distributions. We observe that soft target InfoNCE performs on par with strong soft target cross-entropy baselines and outperforms hard target NLL and InfoNCE losses on popular benchmarks, including ImageNet. Finally, we provide a simple implementation of our loss, geared towards supervised classification and fully compatible with deep classification models trained with cross-entropy.