While deep learning has achieved great success in many fields, one common criticism about deep learning is its lack of interpretability. In most cases, the hidden units in a deep neural network do not have a clear semantic meaning or correspond to any physical entities. However, model interpretability and explainability are crucial in many biomedical applications. To address this challenge, we developed the Factor Graph Neural Network model that is interpretable and predictable by combining probabilistic graphical models with deep learning. We directly encode biological knowledge such as Gene Ontology as a factor graph into the model architecture, making the model transparent and interpretable. Furthermore, we devised an attention mechanism that can capture multi-scale hierarchical interactions among biological entities such as genes and Gene Ontology terms. With parameter sharing mechanism, the unrolled Factor Graph Neural Network model can be trained with stochastic depth and generalize well. We applied our model to two cancer genomic datasets to predict target clinical variables and achieved better results than other traditional machine learning and deep learning models. Our model can also be used for gene set enrichment analysis and selecting Gene Ontology terms that are important to target clinical variables.