A real-world system often exhibits complex dynamics arising from interaction among its subunits. In machine learning and data mining, these interactions are usually formulated as dependency and correlation among system variables. Similar to Convolution Neural Network dealing with spatially correlated features and Recurrent Neural Network with temporally correlated features, in this paper we present a novel deep learning model to tackle functionally interactive features by stacking a Conditional Restricted Boltzmann Machine and a Deep Neural Network (CRBM-DNN). Variables with their dependency relationships are organized into a bipartite graph, which is further converted into a Restricted Boltzmann Machine conditioned by domain knowledge. We integrate this CRBM and a DNN into one deep learning model constrained by one overall cost function. CRBM-DNN can solve both supervised and unsupervised learning problems. Compared to a regular neural network of the same size, CRBM-DNN has fewer parameters so they require fewer training samples. We perform extensive comparative studies with a large number of supervised learning and unsupervised learning methods using several challenging real-world datasets, and achieve significant superior performance.