Reasoning on the knowledge graph (KG) aims to infer new facts from existing ones. Methods based on the relational path in the literature have shown strong, interpretable, and inductive reasoning ability. However, the paths are naturally limited in capturing complex topology in KG. In this paper, we introduce a novel relational structure, i.e., relational directed graph (r-digraph), which is composed of overlapped relational paths, to capture the KG's structural information. Since the digraph

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... ibits more complex structure than paths, constructing and learning on the r-digraph are challenging. Here, we propose a variant of graph neural network, i.e., RED-GNN, to address the above challenges by learning the RElational Digraph with a variant of GNN. Specifically, RED-GNN recursively encodes multiple r-digraphs with shared edges and selects the strongly correlated edges through query-dependent attention weights. We demonstrate the significant gains on reasoning both KG with unseen entities and incompletion KG benchmarks by the r-digraph, the efficiency of RED-GNN, and the interpretable dependencies learned on the r-digraph.