Wireless backhauling at millimeter-wave frequencies (mmWave) in static scenarios is a well-established practice in cellular networks. However, highly directional and adaptive beamforming in today’s mmWave systems have opened new possibilities for self-backhauling. Tapping into this potential, 3GPP has standardized Integrated Access and Backhaul (IAB) allowing the same base station to serve both access and backhaul traffic. Although much more cost-effective and flexible, resource allocation and path selection in IAB mmWave networks is a formidable task. To date, prior works have addressed this challenge through a plethora of classic optimization and learning methods, generally optimizing Key Performance Indicators (KPIs) such as throughput, latency, and fairness, and little attention has been paid to the reliability of the KPI. We propose Safehaul, a risk-averse learning-based solution for IAB mmWave networks. In addition to optimizing the average performance, Safehaul ensures reliability by minimizing the losses in the tail of the performance distribution. We develop a novel simulator and show via extensive simulations that Safehaul not only reduces the latency by up to 43.2% compared to the benchmarks, but also exhibits significantly more reliable performance, e.g., 71.4% less variance in latency.