Knowledge graphs (KGs) often suffer from sparseness and incompleteness. Knowledge graph reasoning provides a feasible way to address such problems. Recent studies on knowledge graph reasoning have shown that reinforcement learning (RL) based methods can provide state-of-the-art performance. However, existing RL-based methods require numerous trials for path-finding and rely heavily on meticulous reward engineering to fit specific dataset, which is inefficient and laborious to apply to fast-evolving KGs. To this end, in this paper, we present DIVINE, a novel plug-and-play framework based on generative adversarial imitation learning for enhancing existing RL-based methods. DIVINE guides the path-finding process, and learns reasoning policies and reward functions self-adaptively through imitating the demonstrations automatically sampled from KGs. Experimental results on two benchmark datasets show that our framework improves the performance of existing RL-based methods while eliminating extra reward engineering.