Graph regression is a fundamental task that has gained significant attention invarious graph learning tasks. However, the inference process is often not easilyinterpretable. Current explanation techniques are limited to understanding GraphNeural Network (GNN) behaviors in classification tasks, leaving an explanation gapfor graph regression models. In this work, we propose a novel explanation methodto interpret the graph regression models (XAIG-R). Our method addresses thedistribution shifting problem and continuously ordered decision boundary issuesthat hinder existing methods away from being applied in regression tasks. Weintroduce a novel objective based on the graph information bottleneck theory (GIB)and a new mix-up framework, which can support various GNNs and explainersin a model-agnostic manner. Additionally, we present a self-supervised learningstrategy to tackle the continuously ordered labels in regression tasks. We evaluateour proposed method on three benchmark datasets and a real-life dataset introducedby us, and extensive experiments demonstrate its effectiveness in interpreting GNNmodels in regression tasks.