High-throughput molecular profiling technologies have revolutionized molecular biology research in the past decades. One important use of molecular data is to make predictions of phenotypes and other features of the organisms using machine learning algorithms. Deep learning models have become increasingly popular for this task due to their ability to learn complex non-linear patterns. Applying deep learning to molecular profiles, however, is challenging due to the very high dimensionality of the data and relatively small sample sizes, causing models to overfit. A solution is to incorporate biological prior knowledge to guide the learning algorithm for processing the functionally related input together. This helps regularize the models and improve their generalizability and interpretability. Here, we describe three major strategies proposed to use prior knowledge in deep learning models to make predictions based on molecular profiles. We review the related deep learning architectures, including the major ideas in relatively new graph neural networks.