The human brain undertakes highly sophisticated information processing facilitated by the interaction between its sub-regions. We present a novel method for interregional connectivity analysis, using multivariate extensions to the mutual information and transfer entropy. The method allows us to identify the underlying directed information structure between brain regions, and how that structure changes according to behavioral conditions. This method is distinguished in using asymmetric, multivariate, information-theoretical analysis, which captures not only directional and non-linear relationships, but also collective interactions. Importantly, the method is able to estimate multivariate information measures with only relatively little data. We demonstrate the method to analyze functional magnetic resonance imaging time series to establish the directed information structure between brain regions involved in a visuo-motor tracking task. Importantly, this results in a tiered structure, with known movement planning regions driving visual and motor control regions. Also, we examine the changes in this structure as the difficulty of the tracking task is increased. We find that task difficulty modulates the coupling strength between regions of a cortical network involved in movement planning and between motor cortex and the cerebellum which is involved in the fine-tuning of motor control. It is likely these methods will find utility in identifying interregional structure (and experimentally induced changes in this structure) in other cognitive tasks and data modalities.