Graph embedding algorithms embed a graph into a vector space where the structure and the inherent properties of the graph are preserved. The existing graph embedding methods cannot preserve the asymmetric transitivity well, which is a critical property of directed graphs. Asymmetric transitivity depicts the correlation among directed edges, that is, if there is a directed path from u to v, then there is likely a directed edge from u to v. Asymmetric transitivity can help in capturing structures of graphs and recovering from partially observed graphs. To tackle this challenge, we propose the idea of preserving asymmetric transitivity by approximating high-order proximity which are based on asymmetric transitivity. In particular, we develop a novel graph embed-ding algorithm, High-Order Proximity preserved Embedding (HOPE for short), which is scalable to preserve high-order proximities of large scale graphs and capable of capturing the asymmetric transitivity. More specifically, we first derive a general formulation that cover multiple popular high-order proximity measurements, then propose a scalable embedding algorithm to approximate the high-order proximity measurements based on their general formulation. Moreover, we provide a theoretical upper bound on the RMSE (Root Mean Squared Error) of the approximation. Our empirical experiments on a synthetic dataset and three real-world datasets demonstrate that HOPE can approximate the high-order proximities significantly better than the state-of-art algorithms and outperform the state-of-art algorithms in tasks of reconstruction, link prediction and vertex recommendation.