Network approaches have successfully been used to help reveal complex mechanisms of diseases including Chronic Obstructive Pulmonary Disease (COPD). However despite recent advances, we remain limited in our ability to incorporate protein-protein interaction (PPI) network information with omics data for disease prediction. New deep learning methods including convolution Graph Neural Network (ConvGNN) has shown great potential for disease classification using transcriptomics data and known PPI networks from existing databases. In this study, we first reconstructed the COPD-associated PPI network through the AhGlasso (Augmented High-Dimensional Graphical Lasso Method) algorithm based on one independent transcriptomics dataset including COPD cases and controls. Then we extended the existing ConvGNN methods to successfully integrate COPD-associated PPI, proteomics, and transcriptomics data and developed a prediction model for COPD classification. This approach improves accuracy over several conventional classification methods and neural networks that do not incorporate network information. We also demonstrated that the updated COPD-associated network developed using AhGlasso further improves prediction accuracy. Although deep neural networks often achieve superior statistical power in classification compared to other methods, it can be very difficult to explain how the model, especially graph neural network(s), makes decisions on the given features and identifies the features that contribute the most to prediction generally and individually. To better explain how the spectral-based Graph Neural Network model(s) works, we applied one unified explainable machine learning method, SHapley Additive exPlanations (SHAP), and identified CXCL11, IL-2, CD48, KIR3DL2, TLR2, BMP10 and several other relevant COPD genes in subnetworks of the ConvGNN model for COPD prediction. Finally, Gene Ontology (GO) enrichment analysis identified glycosaminoglycan, heparin signaling, and carbohydrate derivative signaling pathways significantly enriched in the top important gene/proteins for COPD classifications.