Graphs are the most ubiquitous data structures for representing relational datasets and performing inferences in them. They model, however, only pairwise relations between nodes and are not designed for encoding the higher-order relations. This drawback is mitigated by hypergraphs, in which an edge can connect an arbitrary number of nodes. Most hypergraph learning approaches convert the hypergraph structure to that of a graph and then deploy existing geometric deep learning methods. This transformation leads to information loss, and sub-optimal exploitation of the hypergraph's expressive power. We present HyperMSG, a novel hypergraph learning framework that uses a modular two-level neural message passing strategy to accurately and efficiently propagate information within each hyperedge and across the hyperedges. HyperMSG adapts to the data and task by learning an attention weight associated with each node's degree centrality. Such a mechanism quantifies both local and global importance of a node, capturing the structural properties of a hypergraph. HyperMSG is inductive, allowing inference on previously unseen nodes. Further, it is robust and outperforms state-of-the-art hypergraph learning methods on a wide range of tasks and datasets. Finally, we demonstrate the effectiveness of HyperMSG in learning multimodal relations through detailed experimentation on a challenging multimedia dataset.