This paper develops the high-order accurate entropy stable finite difference schemes for one- and two-dimensional special relativistic hydrodynamic equations. The schemes are built on the entropy conservative flux and the weighted essentially non-oscillatory (WENO) technique as well as explicit Runge-Kutta time discretization. The key is to technically construct the affordable entropy conservative flux of the semi-discrete second-order accurate entropy conservative schemes satisfying the semi-discrete entropy equality for the found convex entropy pair. As soon as the entropy conservative flux is derived, the dissipation term can be added to give the semi-discrete entropy stable schemes satisfying the semi-discrete entropy inequality with the given convex entropy function. The WENO reconstruction for the scaled entropy variables and the high-order explicit Runge-Kutta time discretization are implemented to obtain the fully-discrete high-order entropy stable schemes. Several numerical tests are conducted to validate the accuracy and the ability to capture discontinuities of our entropy stable schemes.