We introduce vector diffusion wavelets (VDWs), a novel family of wavelets inspired by the vector diffusion maps algorithm that was introduced to analyze data lying in the tangent bundle of a Riemannian manifold. We show that these wavelets may be effectively incorporated into a family of geometric graph neural networks, which we refer to as VDW-GNNs. We demonstrate that such networks are effective on synthetic point cloud data, as well as on real-world data derived from wind-field measurements and neural activity data. Theoretically, we prove that these new wavelets have desirable frame theoretic properties, similar to traditional diffusion wavelets. Additionally, we prove that these wavelets have desirable symmetries with respect to rotations and translations.