Objective: Multi-modal functional magnetic resonance imaging (fMRI) can be used to make predictions about individual behavioral and cognitive traits based on brain connectivity networks. Methods: To take advantage of complementary information from multi-modal fMRI, we propose an interpretable multi-modal graph convolutional network (MGCN) model, incorporating both fMRI time series and functional connectivity (FC) between each pair of brain regions. Specifically, our model learns a graph embedding from individual brain networks derived from multi-modal data. A manifold-based regularization term is enforced to consider the relationships of subjects both within and between modalities. Furthermore, we propose the gradient-weighted regression activation mapping (Grad-RAM) and the edge mask learning to interpret the model, which is then used to identify significant cognition-related biomarkers. Results: We validate our MGCN model on the Philadelphia Neurodevelopmental Cohort to predict individual wide range achievement test (WRAT) score. Our model obtains superior predictive performance over GCN with a single modality and other competing approaches. The identified biomarkers are cross-validated from different approaches. Conclusion and Significance: This paper develops a new interpretable graph deep learning framework for cognition prediction, with the potential to overcome the limitations of several current data-fusion models. The results demonstrate the power of MGCN in analyzing multi-modal fMRI and discovering significant biomarkers for human brain studies.