Rough graph is the graph that can be used to research uncertainty problems, and it is a new research tool to analyze the rough characteristic of the system [4]. This paper makes further research on rough graph, and gives the definitions of class connection of rough graph and some subgraphs of rough graph. Furthermore, this paper presents the definition of weighted rough graph by enduing the edges of rough graph with weight attribute, and gives the algorithm of exploring the class optimal tree in weighted rough graph, which generalizes the classical Kruskal algorithm of exploring the optimal tree. Finally, the application in relationship analysis shows the effectiveness of the algorithm.