Distant supervision (DS) has been widely used to automatically construct (noisy) labeled data for relation extraction (RE). To address the noisy label problem, most models have adopted the multi-instance learning paradigm by representing entity pairs as a bag of sentences. However, this strategy depends on multiple assumptions (e.g., all sentences in a bag share the same relation), which may be invalid in real-world applications. Besides, it cannot work well on long-tail entity pairs which have few supporting sentences in the dataset. In this work, we propose a new paradigm named retrieval-augmented distantly supervised relation extraction (ReadsRE), which can incorporate large-scale open-domain knowledge (e.g., Wikipedia) into the retrieval step. ReadsRE seamlessly integrates a neural retriever and a relation predictor in an end-to-end framework. We demonstrate the effectiveness of ReadsRE on the well-known NYT10 dataset. The experimental results verify that ReadsRE can effectively retrieve meaningful sentences (i.e., denoise), and relieve the problem of long-tail entity pairs in the original dataset through incorporating external open-domain corpus. Through comparisons, we show ReadsRE outperforms other baselines for this task.