With the advent of pre-trained language models (LMs), increasing research efforts have been focusing on infusing commonsense and domain-specific knowledge to prepare LMs for downstream tasks. These works attempt to leverage knowledge graphs, the de facto standard of symbolic knowledge representation, along with pre-trained LMs. While existing approaches leverage external knowledge, it remains an open question how to jointly incorporate knowledge graphs representing varying contexts, from local (e.g., sentence), to document-level, to global knowledge, to enable knowledge-rich and interpretable exchange across these contexts. Such rich contextualization can be especially beneficial for long document understanding tasks since standard pre-trained LMs are typically bounded by the input sequence length. In light of these challenges, we propose KALM, a Knowledge-Aware Language Model that jointly leverages knowledge in local, document-level, and global contexts for long document understanding. KALM first encodes long documents and knowledge graphs into the three knowledge-aware context representations. It then processes each context with context-specific layers, followed by a context fusion layer that facilitates interpretable knowledge exchange to derive an overarching document representation. Extensive experiments demonstrate that KALM achieves state-of-the-art performance on three long document understanding tasks across 6 datasets/settings. Further analyses reveal that the three knowledge-aware contexts are complementary and they all contribute to model performance, while the importance and information exchange patterns of different contexts vary with respect to different tasks and datasets.