In this paper, a novel steganalysis scheme is presented to effectively detect the advanced JPEG steganography. For this purpose, we first choose to work on JPEG 2-D arrays formed from the magnitudes of quantized block DCT coefficients. Difference JPEG 2-D arrays along horizontal, vertical, and diagonal directions are then used to enhance changes caused by JPEG steganography. Markov process is applied to modeling these difference JPEG 2-D arrays so as to utilize the second order statistics for steganalysis. In addition to the utilization of difference JPEG 2-D arrays, a thresholding technique is developed to greatly reduce the dimensionality of transition probability matrices, i.e., the dimensionality of feature vectors, thus making the computational complexity of the proposed scheme manageable. The experimental works are presented to demonstrate that the proposed scheme has outperformed the existing steganalyzers in attacking OutGuess, F5, and MB1.