In response to the imbalance between power generation and demand, demand response (DR) projects are vigorously promoted. However, customers’ DR behaviors are still difficult to be simulated accurately and objectively. To tackle this challenge, we propose a new DR behavioral learning method based on a generative adversary network to learn customers’ DR habits. The proposed method is also extended to maximize the economic revenues of generated DR policies on the premise of obeying customers’ DR habits, which is hard to be realized simultaneously by existing model-based methods and traditional learning-based methods. To further consider customers’ time-varying DR patterns and trace the changes dynamically, we define customers’ DR participation positivity as an indicator of their DR pattern and propose a condition regulation approach improving the natural generative adversary framework to generate DR policies conforming to customers’ current DR patterns. The proposed method is applied to hourly electricity price optimization to reduce the fluctuation of system aggregate loads. An online parameter updating method is also utilized to train the proposed behavioral learning model in continuous DR simulations during electricity price optimization. Finally, numerical simulations are conducted to verify the effectiveness and superiority of the proposed method.