Semantic proximity search on heterogeneous graph is an important task, and is useful for many applications. It aims to measure the proximity between two nodes on a heterogeneous graph w.r.t. some given semantic relation. Prior work often tries to measure the semantic proximity by paths connecting a query object and a target object. Despite the success of such path-based approaches, they often modeled the paths in a weakly coupled manner, which overlooked the rich interactions among paths. In this paper, we introduce a novel concept of interactive paths to model the interdependency among multiple paths between a query object and a target object. We then propose an Interactive Paths Embedding (IPE) model, which learns low-dimensional representations for the resulting interactive-paths structures for proximity estimation. We conduct experiments on seven relations with four different types of heterogeneous graphs, and show that our model outperforms the state-of-the-art baselines.