2018 International Society for Bayesian Analysis. Constructing gene regulatory networks is a fundamental task in systems biology. We introduce a Gaussian reciprocal graphical model for inference about gene regulatory relationships by integrating messenger ribonucleic acid (mRNA) gene expression and deoxyribonucleic acid (DNA) level information including copy number and methylation. Data integration allows for inference on the directionality of certain regulatory relationships, which would be otherwise indistinguishable due to Markov equivalence. Efficient inference is developed based on simultaneous equation models. Bayesian model selection techniques are adopted to estimate the graph structure. We illustrate our approach by simulations and application in colon adenocarcinoma pathway analysis.