Magnetoelectric (ME) coupling is highly desirable for sensors and memory devices. Herein, the polarization (P) and magnetization (M) of the DyFeO3 single crystal were measured in pulsed magnetic fields, in which the ME behavior is modulated by multi-magnetic order parameters and has high magnetic-field sensitivity. Below the ordering temperature of the Dy3+-sublattice, when the magnetic field is along the c-axis, the P (corresponding to a large critical field of 3 T) is generated due to the exchange striction mechanism. Interestingly, when the magnetic field is in the ab-plane, ME coupling with smaller critical fields of 0.8 T (a-axis) and 0.5 T (b-axis) is triggered. We assume that the high magnetic-field sensitivity results from the combination of the magnetic anisotropy of the Dy3+ spin and the exchange striction between the Fe3+ and Dy3+ spins. This work may help to search for single-phase multiferroic materials with high magnetic-field sensitivity.