Background: Gene networks in living cells can change depending on various conditions such as caused by different environments, tissue types, disease states, and development stages. Identifying the differential changes in gene networks is very important to understand molecular basis of various biological process. While existing algorithms can be used to infer two gene networks separately from gene expression data under two different conditions, and then to identify network changes, such an approach does not exploit the data jointly, and it is thus suboptimal. A desirable approach would be clearly to infer two gene networks jointly, which can yield improved estimates of network changes. Results: In this paper, we developed a proximal gradient algorithm for differential network (ProGAdNet) inference, that jointly infers two gene networks under different conditions and then identifies changes in the network structure. Computer simulations demonstrated that our ProGAdNet outperformed existing algorithms in terms of inference accuracy, and was much faster than a similar approach for joint inference of gene networks. Gene expression data of breast tumors and normal tissues in the TCGA database were analyzed with our ProGAdNet, and revealed that 268 genes were involved in the changed network edges. Gene set enrichment analysis of this set of 268 genes identified a number of gene sets related to breast cancer or other types of cancer, which corroborated the gene set identified by ProGAdNet was very informative about the cancer disease status. A software package implementing the ProGAdNet and computer simulations is available upon request. Conclusion: With its superior performance over existing algorithms, ProGAdNet provides a valuable tool for finding changes in gene networks, which may aid the discovery of gene-gene interactions changed under different conditions.