In this paper, we consider the task of hole filling in depth maps, with the help of an associated color image. We take a supervised learning approach to solve this problem. The model is learnt from the training set, which contain pixels that have depth values. Then we apply supervised learning to predict the depth values in the holes. Our model uses a regional Markov Random Field (MRF) that incorporates multiscale absolute and relative features (computed from the color image), and models depths not only at individual points but also between adjacent points. The experiments show that the proposed approach is able to recover fairly accurate depth values and achieve a high quality depth map.