Multi-task learning is a way of bringing inductive transfer studied in human learning to the machine learning community. A central issue in multi-task learning is to model the relationships between tasks appropriately and exploit them to aid the simultaneous learning of multiple tasks effectively. While some recent methods model and learn the task relationships from data automatically, only pairwise relationships can be represented by them. In this paper, we propose a new model, called Multi- Task High-Order relationship Learning (MTHOL), which extends in a novel way the use of pairwise task relationships to high-order task relationships. We first propose an alternative formulation of an existing multi-task learning method. Based on the new formulation, we propose a high-order generalization leading to a new prior for the model parameters of different tasks. We then propose a new probabilistic model for multi-task learning and validate it empirically on some benchmark datasets.