In many real-world reinforcement learning problems, an agent needs to control multiple actions simultaneously. To learn under this circumstance, previously, each action was commonly treated independently with other. However, these multiple actions are rarely independent in applications, and it could be helpful to accelerate the learning if the underlying relationship among the actions is utilized. This paper explores multi-action relationship in reinforcement learning. We propose to learn the multi-action relationship by enforcing a regularization term capturing the relationship. We incorporate the regularization term into the least-square policy-iteration and the temporal-difference methods, which result efficiently solvable convex learning objectives. The proposed methods are validated empirically in several domains. Experiment results show that incorporating multi-action relationship can effectively improve the learning performance.