In large language model (LLM) reasoning, multi-step processes have proven effective for solving complex tasks. However, the depth of exploration can significantly affect the reasoning performance. Existing methods to automatically decide the depth often bring high costs and lack flexibility, and thus undermine the model's reasoning accuracy. To address these issues, we propose Entropy-based Exploration Depth Conduction (Entro-duction), a novel method that dynamically adjusts the exploration depth during multi-step reasoning by monitoring LLM's output entropy and variance entropy. We employ these two metrics to capture the model's current uncertainty and the fluctuation of uncertainty across consecutive reasoning steps. Based on the observed changes, the LLM selects whether to deepen, expand or stop exploration according to the probability. In this way, we balance the reasoning accuracy and exploration effectiveness. Experimental results across four benchmark datasets demonstrate the efficacy of Entro-duction. We further conduct experiments and analysis on the components of Entro-duction to discuss their contributions to reasoning performance.