Recently, the embedding-based recommendation models (e.g., matrix factorization and deep models) have been prevalent in both academia and industry due to their effectiveness and flexibility. However, they also have such intrinsic limitations as lacking explainability and suffering from data sparsity. In this paper, we propose an end-to-end joint learning framework to get around these limitations without introducing any extra overhead by distilling structured knowledge from a differentiable path-based recommendation model. Through extensive experiments, we show that our proposed framework can achieve state-of-the-art recommendation performance and meanwhile provide interpretable recommendation reasons.