Prediction of cancer-specific drug responses as well as identification of the corresponding drug-sensitive genes and pathways remains a major biological and clinical challenge. Deep learning models hold immense promise for better drug response predictions, but most of them cannot provide biological and clinical interpretability. Visible neural network (VNN) models have emerged to solve the problem by giving neurons biological meanings and directly casting biological networks into the models. However, the biological networks used in VNNs are often redundant and contain components that are irrelevant to the downstream predictions. Therefore, the VNNs using these redundant biological networks are overparameterized, which significantly limits VNNs' predictive and explanatory power. To overcome the problem, we treat the edges and nodes in biological networks used in VNNs as features and develop a sparse learning framework ParsVNN to learn parsimony VNNs with only edges and nodes that contribute the most to the prediction task. We applied ParsVNN to build cancer-specific VNN models to predict drug response for five different cancer types. We demonstrated that the parsimony VNNs built by ParsVNN are superior to other state-of-the-art methods in terms of prediction performance and identification of cancer driver genes. Furthermore, we found that the pathways selected by ParsVNN have great potential to predict clinical outcomes as well as recommend synergistic drug combinations