We report a combined neutron scattering and magnetization study on the multiferroic DyFeO3 which shows a very strong magnetoelectric effect. Applying magnetic field along the c-axis, the weak ferromagnetic order of the Fe ions is quickly recovered from a spin reorientation transition, and the long-range antiferromagnetic order of Dy becomes a short-range one. We found that the short-range order concurs with the multiferroic phase and is responsible for its sizable hysteresis. Our H-T phase diagram suggests that the strong magnetoelectric effect in DyFeO3 has to be understood with not only the weak ferromagnetism of Fe but also the short-range antiferromagnetic order of Dy.