Early fusion models with cross-attention have shown better-than-human performance on some question answer benchmarks, while it is a poor fit for retrieval since it prevents pre-computation of the answer representations. We present a supervised data mining method using an accurate early fusion model to improve the training of an efficient late fusion retrieval model. We first train an accurate classification model with cross-attention between questions and answers. The cross-attention model is then used to annotate additional passages in order to generate weighted training examples for a neural retrieval model. The resulting retrieval model with additional data significantly outperforms retrieval models directly trained with gold annotations on Precision at N (P@N) and Mean Reciprocal Rank (MRR).