Social recommender systems exploit users' social relationships to improve recommendation accuracy. Intuitively, a user tends to trust different people regarding with different scenarios. Therefore, one main challenge of social recommendation is to exploit the most appropriate dependencies between users for a given recommendation task. Previous social recommendation methods are usually developed based on pre-defined user dependencies. Thus, they may not be optimal for a specific recommendation task. In this paper, we propose a novel recommendation method, named probabilistic relational matrix factorization (PRMF), which can automatically learn the dependencies between users to improve recommendation accuracy. In PRMF, users' latent features are assumed to follow a matrix variate normal (MVN) distribution. Both positive and negative user dependencies can be modeled by the row precision matrix of the MVN distribution. Moreover, we also propose an alternating optimization algorithm to solve the optimization problem of PRMF. Extensive experiments on four real datasets have been performed to demonstrate the effectiveness of the proposed PRMF model.