With the rapid accumulation of electronic health record (EHR) data, deep learning (DL) models have exhibited promising performance on patient risk prediction. Recent advances have also demonstrated the effectiveness of knowledge graphs (KG) in providing valuable prior knowledge for further improving DL model performance. However, it is still unclear how KG can be utilized to encode highorder relations among clinical concepts and how DL models can make full use of the encoded concept relations to solve real-world healthcare problems and to interpret the outcomes. We propose a novel knowledge graph guided double attention LSTM model named KGDAL for rolling mortality prediction for critically ill patients with acute kidney injury requiring dialysis (AKI-D). KGDAL constructs a KG-based two-dimension attention in both time and feature spaces. In the experiment with two large healthcare datasets, we compared KGDAL with a variety of rolling mortality prediction models and conducted an ablation study to test the effectiveness, efficacy, and contribution of different attention mechanisms. The results showed that KGDAL clearly outperformed all the compared models. Also, KGDAL-derived patient risk trajectories may assist healthcare providers to make timely decisions and actions. The source code, sample data, and manual of KGDAL are available at https://github.com/lucasliu0928/KGDAL.