Conventionally, the maximum likelihood (ML) criterion is applied to train a deep belief network (DBN). We present a maximum entropy (ME) learning algorithm for DBNs, designed specifically to handle limited training data. Maximizing only the entropy of parameters in the DBN allows more effective generalization capability, less bias towards data distributions, and robustness to over-fitting compared to ML learning. Results of text classification and object recognition tasks demonstrate ME-trained DBN outperforms ML-trained DBN when training data is limited.