Most proposed methods for TF-binding site (TFBS) predictions only use low order dependencies for predictions due to the lack of efficient methods to extract higher order dependencies. In this work, we first propose a novel method to extract higher order dependencies by applying CNN on histone modification features. We then propose a novel TFBS prediction method, referred to as CNN_TF, by incorporating low order and higher order dependencies. CNN_TF is first evaluated on 13 TFs in the mES cell. Results show that using higher order dependencies outperforms low order dependencies significantly on 11 TFs. This indicates that higher order dependencies are indeed more effective for TFBS predictions than low order dependencies. Further experiments show that using both low order dependencies and higher order dependencies improves performance significantly on 12 TFs, indicating the two dependency types are complementary. To evaluate the influence of cell-types on prediction performances, CNN_TF was applied to five TFs in five cell-types of humans. Even though low order dependencies and higher order dependencies show different contributions in different cell-types, they are always complementary in predictions. When comparing to several state-of-the-art methods, CNN_TF outperforms them by at least 5.3 percent in AUPR.