How to mine the gene regulatory relationship and construct gene regulatory network (GRN) is of utmost interest within the whole biological community, however, which has been consistently a challenging problem since the tremendous complexity in cellular systems. In present work, we construct gene regulatory network using an improved three-phase dependency analysis algorithm (TPDA) Bayesian network learning method, which includes the steps of Drafting, Thickening, and Thinning. In order to solve the problem of learning result is not reliable due to the high order conditional independence test, we use the entropy estimation approach of Gaussian kernel probability density estimator to calculate the (conditional) mutual information between genes. The experiment on the public benchmark data sets show the improved method outperforms the other nine kinds of Bayesian network learning methods when to process the data with large sample size, with small number of discrete values, and the frequency of different discrete values is about same. In addition, the improved TPDA method was further applied on a real large gene expression data set on RNA-seq from a global collection with 368 elite maize inbred lines. Experiment results show it performs better than the original TPDA method and the other nine kinds of Bayesian network learning algorithms significantly.