Significant progress has been achieved in biomedical text mining using deep learning methods, which rely heavily on large amounts of high-quality data annotated by human experts. However, the reality is that obtaining high-quality annotated data is extremely challenging due to data scarcity (e.g. rare or new diseases), data privacy and security concerns, and the high cost of data annotation. Additionally, nearly all researches focus on predicting labels without providing corresponding explanations. Therefore, in this paper, we investigate a more realistic scenario, biomedical few-shot learning, and explore the impact of interpretability on biomedical few-shot learning. We present LetEx-Learning to explain-a novel multi-task generative approach that leverages reasoning explanations from large language models (LLMs) to enhance the inductive reasoning ability of few-shot learning. Our approach includes (1) collecting high-quality explanations by devising a suite of complete workflow based on LLMs through CoT prompting and self-training strategies, (2) converting various biomedical NLP tasks into a text-to-text generation task in a unified manner, where collected explanations serve as additional supervision between text-label pairs by multi-task training. Experiments are conducted on three few-shot settings across six biomedical benchmark datasets. The results show that learning to explain improves the performances of diverse biomedical NLP tasks in low-resource scenario, outperforming strong baseline models significantly by up to 6.41%. Notably, the proposed method makes the 220M LetEx perform superior reasoning explanation ability against LLMs. Our source code and data are available at https://github.com/cpmss521/LetEx.