We demonstrate that short-period stars orbiting around the supermassive black hole in our Galactic center can successfully be used to probe the gravitational theory in a strong regime. We use 19 years of observations of the two best measured short-period stars orbiting our Galactic center to constrain a hypothetical fifth force that arises in various scenarios motivated by the development of a unification theory or in some models of dark matter and dark energy. No deviation from general relativity is reported and the fifth force strength is restricted to an upper 95% confidence limit of |α|<0.016 at a length scale of λ=150 astronomical units. We also derive a 95% confidence upper limit on a linear drift of the argument of periastron of the short-period star S0-2 of |ω[over ˙]_{S0-2}|<1.6×10^{-3} rad/yr, which can be used to constrain various gravitational and astrophysical theories. This analysis provides the first fully self-consistent test of the gravitational theory using orbital dynamic in a strong gravitational regime, that of a supermassive black hole. A sensitivity analysis for future measurements is also presented.