Learning useful interactions between input features is crucial for tabular data modeling. Recent efforts start to explicitly model the feature interactions with graph, where each feature is treated as an individual node. However, the existing graph construction methods either heuristically formulate a fixed feature-interaction graph based on specific domain knowledge, or simply apply attention function to compute the pairwise feature similarities for each sample. While the fixed graph may be sub-optimal to downstream tasks, the sample-wise graph construction is time-consuming during model training and inference. To tackle these issues, we propose a framework named Table2Graph to transform the feature interaction modeling to learning a unified graph. Represented as a probability adjacency matrix, the unified graph learns to model the key feature interactions shared by the diverse samples in the tabular data. To well optimize the unified graph, we employ the reinforcement learning policy to capture the key feature interactions stably. A sparsity constraint is also proposed to regularize the learned graph from being overly-sparse/smooth. The experimental results in a variety of real-world applications demonstrate the effectiveness and efficiency of our Table2Graph, in terms of the prediction accuracy and feature interaction detection.