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Understanding and modeling behavior of multi-agent systems is a central step for artificial intelligence. Here we present a deep generative model which captures behavior generating process of multi-agent systems, supports accurate predictions and inference, infers how agents interact in a complex system, as well as identifies agent groups and interaction types. Built upon advances in deep generative models and a novel attention mechanism, our model can learn interactions in highly heterogeneous systems with linear complexity in the number of agents. We apply this model to three multi-agent systems in different domains and evaluate performance on a diverse set of tasks including behavior prediction, interaction analysis and system identification. Experimental results demonstrate its ability to model multi-agent systems, yielding improved performance over competitive baselines. We also show the model can successfully identify agent groups and interaction types in these systems. Our model offers new opportunities to predict complex multi-agent behaviors and takes a step forward in understanding interactions in multi-agent systems.