Most systems integrating data-driven machine learning with knowledge-driven reasoning usually rely on a specifically designed knowledge base to enable efficient symbolic inference. However, it could be cumbersome for the nonexpert end-users to prepare such a knowledge base in real tasks. Recent years have witnessed the success of large-scale knowledge graphs, which could be ideal domain knowledge resources for real-world machine learning tasks. However, these large-scale knowledge graphs usually contain much information that is irrelevant to a specific learning task. Moreover, they often contain a certain degree of noise. Existing methods can hardly make use of them because the large-scale probabilistic logical inference is usually intractable. To address these problems, we present ABductive Learning with Knowledge Graph (ABL-KG) that can automatically mine logic rules from knowledge graphs during learning, using a knowledge forgetting mechanism for filtering out irrelevant information. Meanwhile, these rules can form a logic program that enables efficient joint optimization of the machine learning model and logic inference within the Abductive Learning (ABL) framework. Experiments on four different tasks show that ABL-KG can automatically extract useful rules from large-scale and noisy knowledge graphs, and significantly improve the performance of machine learning with only a handful of labeled data.