Accurately predicting driving behavior can help to avoid potential improper maneuvers of human drivers, thus guaranteeing safe driving for intelligent vehicles. In this paper, we propose a novel deep belief network (DBN), called MSR-DBN, by integrating a multi-target sigmoid regression (MSR) layer with DBN to predict the front wheel angle and speed of the ego vehicle. Precisely, the MSR-DBN consists of two sub-networks: one is for the front wheel angle, and the other one is for speed. This MSR-DBN model allows ones to optimize lateral and longitudinal behavior predictions through a systematic testing method. In addition, we consider the historical states of the ego vehicle and surrounding vehicles and the driver’s operations as inputs to predict driving behaviors in a real-world environment. Comparison of the prediction results of MSR-DBN with a general DBN model, back propagation (BP) neural network, support vector regression (SVR), and radical basis function (RBF) neural network, demonstrates that the proposed MSR-DBN outperforms the others in terms of accuracy and robustness.