Training long-context language models to capture long-range dependencies requires specialized data construction. Current approaches, such as generic text concatenation or heuristic-based variants, frequently fail to guarantee genuine long-range dependencies. We propose EntropyLong, a novel data construction method that leverages predictive uncertainty to verify dependency quality. Our approach identifies high-entropy positions in documents, retrieves semantically relevant contexts from large corpora, and verifies their utility by assessing whether they reduce prediction entropy. This model-in-the-loop verification ensures each dependency represents measurable information gain rather than spurious correlation. We construct training samples with long-range dependencies by combining original documents with these verified contextual supplements. Using FineWebEdu and Cosmopedia, we generate a dataset of 128K-length sequences with verified dependencies. Models trained on this data demonstrate significant improvements on RULER benchmarks, particularly in tasks requiring distant information. Following instruction fine-tuning, our models also achieve substantial gains on LongBenchv2, demonstrating enhanced long-context understanding. Extensive ablation studies further validate the necessity and effectiveness of entropybased verification for long-context training.