The scaling law, a strategy that involves the brute-force scaling of the training dataset and learnable parameters, has become a prevalent approach for developing stronger learning models. In this paper, we examine its rationale in terms of learning from relational graphs. We demonstrate that directly adhering to such a scaling law does not necessarily yield stronger models due to architectural incompatibility and representation bottlenecks. To tackle this challenge, we propose a novel framework for learning from relational graphs via knowledge-aware parsimony learning. Our method draws inspiration from the duality between data and knowledge inherent in these graphs. Specifically, we first extract knowledge (like symbolic logic and physical laws) during the learning process, and then apply combinatorial generalization to the task at hand. This extracted knowledge serves as the ``building blocks'' for achieving parsimony learning. By applying this philosophy to architecture, parameters, and inference, we can effectively achieve versatile, sample-efficient, and interpretable learning. Experimental results show that our proposed framework surpasses methods that strictly follow the traditional scaling-up roadmap. This highlights the importance of incorporating knowledge in the development of next-generation learning technologies.