In this study, we established an explainable and personalized risk prediction model for in-hospital mortality after continuous renal replacement therapy (CRRT) initiation. This retrospective cohort study was conducted at Changhua Christian Hospital (CCH). A total of 2932 consecutive intensive care unit patients receiving CRRT between 1 January 2010, and 30 April 2021, were identified from the CCH Clinical Research Database and were included in this study. The recursive feature elimination method with 10-fold cross-validation was used and repeated five times to select the optimal subset of features for the development of machine learning (ML) models to predict in-hospital mortality after CRRT initiation. An explainable approach based on ML and the SHapley Additive exPlanation (SHAP) and a local explanation method were used to evaluate the risk of in-hospital mortality and help clinicians understand the results of ML models. The extreme gradient boosting and gradient boosting machine models exhibited a higher discrimination ability (area under curve [AUC] = 0.806, 95% CI = 0.770–0.843 and AUC = 0.823, 95% CI = 0.788–0.858, respectively). The SHAP model revealed that the Acute Physiology and Chronic Health Evaluation II score, albumin level, and the timing of CRRT initiation were the most crucial features, followed by age, potassium and creatinine levels, SPO2, mean arterial pressure, international normalized ratio, and vasopressor support use. ML models combined with SHAP and local interpretation can provide the visual interpretation of individual risk predictions, which can help clinicians understand the effect of critical features and make informed decisions for preventing in-hospital deaths.