This paper aims to demonstrate the importance of studying interactions among various sociodemographic risk factors of childhood stunting in Bangladesh with the help of an interpretable machine learning method. Data used for the analyses are extracted from the Bangladesh Demographic and Health Survey (BDHS) 2014 and pertain to a sample of 6,170 under-5 children. Social and economic determinants such as wealth, mother’s decision making on healthcare, parental education are considered in addition to geographic divisions and common demographic characteristics of children including age, sex and birth order. A classification tree was first constructed to identify important interaction-based rules that characterize children with different profiles of risk for stunting. Then binary logistic regression models were fitted to measure the importance of these interactions along with the individual risk factors. Results revealed that, as individual factors, living in Sylhet division (OR: 1.57; CI: 1.26–1.96), being an urban resident (OR: 1.28; CI: 1.03–1.96) and having working mothers (OR: 1.21; CI: 1.02–1.44) were associated with higher likelihoods of childhood stunting, whereas belonging to the richest households (OR: 0.56; CI: 0.35–0.90), higher BMI of mothers (OR: 0.68 CI: 0.56–0.84) and mothers’ involvement in decision making about children’s healthcare with father (OR: 0.83, CI: 0.71–0.97) were linked to lower likelihoods of stunting. Importantly however, risk classifications defined by the interplay of multiple sociodemographic factors showed more extreme odds ratios (OR) of stunting than single factor ORs. For example, children aged 14 months or above who belong to poor wealth class, have lowly educated fathers and reside in either Dhaka, Barisal, Chittagong or Sylhet division are the most vulnerable to stunting (OR: 2.52, CI: 1.85–3.44). The findings endorse the need for tailored-intervention programs for children based on their distinct risk profiles and sociodemographic characteristics.