The advent of Industry 4.0 has revolutionized the life enormously. There is a growing trend towards the Internet of Things (IoT), which has made life easier on the one hand and improved services on the other. However, it also has vulnerabilities due to cyber security attacks. Therefore, there is a need for intelligent and reliable security systems that can proactively analyze the data generated by these devices and detect cybersecurity attacks. This study proposed a proactive interpretable prediction model using ML and explainable artificial intelligence (XAI) to detect different types of security attacks using the log data generated by heating, ventilation, and air conditioning (HVAC) attacks. Several ML algorithms were used, such as Decision Tree (DT), Random Forest (RF), Gradient Boosting (GB), Ada Boost (AB), Light Gradient Boosting (LGBM), Extreme Gradient Boosting (XGBoost), and CatBoost (CB). Furthermore, feature selection was performed using stepwise forward feature selection (FFS) technique. To alleviate the data imbalance, SMOTE and Tomeklink were used. In addition, SMOTE achieved the best results with selected features. Empirical experiments were conducted, and the results showed that the XGBoost classifier has produced the best result with 0.9999 Area Under the Curve (AUC), 0.9998, accuracy (ACC), 0.9996 Recall, 1.000 Precision and 0.9998 F1 Score got the best result. Additionally, XAI was applied to the best performing model to add the interpretability in the black-box model. Local and global explanations were generated using LIME and SHAP. The results of the proposed study have confirmed the effectiveness of ML for predicting the cyber security attacks on IoT devices and Industry 4.0.