When acquaintances of a model are little or the model is too complicate to build by using traditional time series methods, it is convenient for us to take advantage of genetic programming (GP) to build the model. Considering the complexity of nonlinear dynamic systems, this paper proposes modeling dynamic systems by using the nonlinear difference equation based on GP technique. First it gives the method, criteria and evaluation of modeling. Then it describes the modeling algorithm using GP. Finally two typical examples of time series are used to perform the numerical experiments. The result shows that this algorithm can successfully establish the difference equation model of dynamic systems and its predictive result is also satisfactory.