Biomedical knowledge graphs (KGs), which can help with the understanding of complex biological systems and pathologies, have begun to play a critical role in medical practice and research. However, challenges remain in their embedding and use due to their complex nature and the specific demands of their construction. Existing studies often suffer from problems such as sparse and noisy datasets, insufficient modeling methods and non-uniform evaluation metrics. In this work, we established a comprehensive KG system for the biomedical field in an attempt to bridge the gap. Here, we introduced PharmKG, a multi-relational, attributed biomedical KG, composed of more than 500 000 individual interconnections between genes, drugs and diseases, with 29 relation types over a vocabulary of ~8000 disambiguated entities. Each entity in PharmKG is attached with heterogeneous, domain-specific information obtained from multi-omics data, i.e. gene expression, chemical structure and disease word embedding, while preserving the semantic and biomedical features. For baselines, we offered nine state-of-the-art KG embedding (KGE) approaches and a new biological, intuitive, graph neural network-based KGE method that uses a combination of both global network structure and heterogeneous domain features. Based on the proposed benchmark, we conducted extensive experiments to assess these KGE models using multiple evaluation metrics. Finally, we discussed our observations across various downstream biological tasks and provide insights and guidelines for how to use a KG in biomedicine. We hope that the unprecedented quality and diversity of PharmKG will lead to advances in biomedical KG construction, embedding and application.