We propose to use dynamic Bayesian networks (DBN) to learn the structure of effective brain connectivity from functional MRI data in an exploratory manner. In our previous work, we used Bayesian networks (BN) to learn the functional structure of the brain (Zheng, X., Rajapakse, J.C., 2006. Learning functional structure from fMR images. NeuroImage 31 (4), 1601-1613). However, BN provides a single snapshot of effective connectivity of the entire experiment and therefore is unable to accurately capture the temporal characteristics of connectivity. Dynamic Bayesian networks (DBN) use a Markov chain to model fMRI time-series and thereby determine temporal relationships of interactions among brain regions. Experiments on synthetic fMRI data demonstrate that the performance of DBN is comparable to Granger causality mapping (GCM) in determining the structure of linearly connected networks. Dynamic Bayesian networks render more accurate and informative brain connectivity than earlier methods as connectivity is described in complete statistical sense and temporal characteristics of time-series are explicitly taken into account. The functional structures inferred on two real fMRI datasets are consistent with the previous literature and more accurate than those discovered by BN. Furthermore, we study the effects of hemodynamic noise, scanner noise, inter-scan interval, and the variability of hemodynamic parameters on the derived connectivity.