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With the increasing use of Graph Neural Networks (GNNs) in critical real-world applications, several post hoc explanation methods have been proposed to understand their predictions. However, there has been no work in generating explanations on the fly during model training and utilizing them to improve the expressive power of the underlying GNN models. In this work, we introduce a novel explanation-directed neural message passing framework for GNNs, EXPASS (EXplainable message PASSing), which aggregates only embeddings from nodes and edges identified as important by a GNN explanation method. EXPASS can be used with any existing GNN architecture and subgraph-optimizing explainer to learn accurate graph embeddings. We theoretically show that EXPASS alleviates the oversmoothing problem in GNNs by slowing the layer wise loss of Dirichlet energy and that the embedding difference between the vanilla message passing and EXPASS framework can be upper bounded by the difference of their respective model weights. Our empirical results show that graph embeddings learned using EXPASS improve the predictive performance and alleviate the oversmoothing problems of GNNs, opening up new frontiers in graph machine learning to develop explanation-based training frameworks.