Spectral-based graph neural networks (SGNNs) have been attracting increasing attention in graph representation learning. However, existing SGNNs are limited in implementing graph filters with rigid transforms and cannot adapt to signals residing on graphs and tasks at hand. In this paper, we propose a novel class of graph neural networks that realizes graph filters with adaptive graph wavelets. Specifically, the adaptive graph wavelets are learned with neural network-parameterized lifting structures, where structure-aware attention-based lifting operations are developed to jointly consider graph structures and node features. We propose to lift based on diffusion wavelets to alleviate the structural information lass induced by partitioning non-bipartite graphs. By design, the locality and sparsity of the resulting wavelet transform as well as the scalability of the lifting structure are guaranteed. We further derive a soft-thresholding filtering operation by learning sparse graph representations in terms of the learned wavelets, yielding a localized, efficient, and scalable wavelet-based graph filters. To ensure that the learned graph representations are invariant to node permutations, a layer is employed at the input of the networks to reorder the nodes according to their local topology information. We evaluate the proposed networks in both node-level and graph-level representation learning tasks on benchmark citation and bioinformatics graph datasets. Extensive experiments demonstrate the superiority of the proposed networks over existing SGNNs in terms of accuracy, efficiency, and scalability.