Exploratory behavior plays a fundamental role in motivation, learning, and well-being of organisms. The open field test (OFT) is a classic method to investigate the exploratory behavior in rodents, also a widely adopted and pharmacologically validated procedure for evaluating anxiety and depression. Several lines of evidence have shown that medial prefrontal cortex (mPFC) and basolateral amygdala (BLA) play crucial roles in anxiety-like or depression-like exploratory behavior. However, the dynamic characterization of the mPFC-BLA network in exploratory behavior is less well understood. Therefore, this study aimed to investigate the information transmission mechanism in the mPFC-BLA network during exploratory behavior. Local field potentials (LFPs) from mPFC and BLA were simultaneously recorded while the rats performed the OFT. Directed transfer function (DTF), which was derived from Granger causal connectivity analysis, was applied to measure the functional connectivity among LFPs. Information flow (IF) was calculated to explore the dynamics of information transmission in the mPFC-BLA network. Our results revealed that, for both mPFC and BLA, the theta-band functional connectivity in periphery was significantly higher than that in center of the open field. The IF from BLA to mPFC in the open field task was significantly higher than that from mPFC to BLA. These results suggest that the functional connectivity and IF in the mPFC-BLA network are related to the exploratory behavior, and information transmission from BLA to mPFC could be predominant for exploratory behavior.