To alleviate the burden of software maintenance, bug localization, which aims to automatically locate the buggy source files based on the bug report, has drawn significant attention in the software mining community. Recent studies indicate that the program structure in source code carries more semantics reflecting the program behavior, which is beneficial for bug localization. Benefiting from the rich structural information in the Control Flow Graph (CFG), CFG-based bug localization methods have achieved the state-of-the-art performance. Existing CFG-based methods extract the semantic feature from the CFG via the graph neural network. However, the step-wise feature propagation in the graph neural network suffers from the problem of information loss when the propagation distance is long, while the long-distance dependency is rather common in the CFG. In this paper, we argue that the long-distance dependency is crucial for feature extraction from the CFG, and propose a novel bug localization model named sgAttention. In sgAttention, a particularly designed structural-guided attention is employed to globally capture the information in the CFG, where features of irrelevant nodes are masked for each node to facilitate better feature extraction from the CFG. Experimental results on four widely-used open-source software projects indicate that sgAttention averagely improves the state-of-the-art bug localization methods by 32.9\% and 29.2\% and the state-of-the-art pre-trained models by 5.8\% and 4.9\% in terms of MAP and MRR, respectively.