Functional connectivity network derived from resting-state fMRI data has been found as effective biomarkers for identifying patients with mild cognitive impairment from healthy elderly. However, the ordinary functional connectivity network is essentially a low-order network with the assumption that the brain is static during the entire scanning period, ignoring the temporal variations among correlations derived from brain region pairs. To overcome this weakness, we proposed a new type of high-order network to more accurately describe the relationship of temporal variations among brain regions. Specifically, instead of the commonly used undirected pairwise Pearson’s correlation coefficient, we first estimated the low-order effective connectivity network based on a novel sparse regression algorithm. By using the similar approach, we then constructed the high-order effective connectivity network from low-order connectivity to incorporate signal flow information among the brain regions. We finally combined the low-order and the high-order effective connectivity networks using two decision trees for MCI classification and experimental results obtained demonstrate the superiority of the proposed method over the conventional undirected low-order and high-order functional connectivity networks, as well as the low-order and high-order effective connectivity networks when they were used separately.