The decisions of supply chain members are influenced by human behaviors. This paper examines a supply chain with one supplier and one retailer to explore their pricing decision behaviors in experiment settings. The behaviors of decision-makers are described by cognitive hierarchy model, quantal response equilibrium model, and comprehensive model combining the cognitive hierarchy and the quantal response equilibrium models; the likelihood estimation results of the three models are compared and analyzed, and we conclude that the comprehensive model can better fit the pricing decision-making behaviors of supply chain members. It reveals that the main reasons for the decision-makers’ pricing behaviors deviating from the optimal theoretical decisions are the heterogeneous beliefs between decision-makers about their opponent’s level of strategic-reasoning capabilities, and the decision-making deviation that cannot optimally respond to the other’s decision. At the same time, the average cognitive hierarchy of decision-makers is affected by their decision-making sequence. Compared with the first mover, the later mover’s cognitive level is higher since the later mover can receive the decision information of the first mover.