If you go to the Time Machine pref pane and click on select disk, you will see a check box to enable encrypted backups. It is off by default and will only work on USB attached storage. It will not work if you are using OTA backups like with a Time Capsule.
As others have said, not by default, however, you can turn on encryption on an existing TM disk that is connected to your computer (and not via Time Capsule). It will take it a while to encrypt the disk. you can use, sleep and shutdown the computer with causing issues in the initial encryption process.