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Diabetic Retinopathy (DR) is a leading cause of vision loss in the world, and early DR detection is necessary to prevent vision loss and support an appropriate treatment. In this work, we leverage interactive machine learning and introduce a joint learning framework, termed DRG-Net, to effectively learn both disease grading and multi-lesion segmentation. Our DRG-Net consists of two modules: (i) DRG-AI-System to classify DR Grading, localize lesion areas, and provide visual explanations; (ii) DRG-Expert-Interaction to receive feedback from user-expert and improve the DRG-AI-System. To deal with sparse data, we utilize transfer learning mechanisms to extract invariant feature representations by using Wasserstein distance and adversarial learning-based entropy minimization. Besides, we propose a novel attention strategy at both low- and high-level features to automatically select the most significant lesion information and provide explainable properties. In terms of human interaction, we further develop DRG-Net as a tool that enables expert users to correct the system's predictions, which may then be used to update the system as a whole. Moreover, thanks to the attention mechanism and loss functions constraint between lesion features and classification features, our approach can be robust given a certain level of noise in the feedback of users. We have benchmarked DRG-Net on the two largest DR datasets, i.e., IDRID and FGADR, and compared it to various state-of-the-art deep learning networks. In addition to outperforming other SOTA approaches, DRG-Net is effectively updated using user feedback, even in a weakly-supervised manner.