In this paper, we give a construction of strongly regular Cayley graphs and a construction of skew Hadamard difference sets. Both constructions are based on choosing cyclotomic classes of finite fields, and they generalize the constructions given by Feng and Xiang [10,12]. Three infinite families of strongly regular graphs with new parameters are obtained. The main tools that we employed are index 2 Gauss sums, instead of cyclotomic numbers.