Oxidative stress, characterized by an imbalance between reactive oxygen species (ROS) and antioxidants, plays a pivotal role in inflammatory responses associated with both chronic diseases and acute injuries. In this study, OXidative Stress PREDictor (OxSpred), a supervised learning model tailored to accurately annotate the oxidative stress state of innate immune cells at the single‐cell level, is introduced. Compared to the traditional gene‐set‐variation‐analysis‐based enrichment method, OxSpred demonstrates superior accuracy with an area under the receiver operating characteristic curve of 0.89 and offers interpretable embeddings with significant biological relevance. Using the predicted ROS states, precise elucidation and interpretation of the roles of novel innate immune cell subtypes can be achieved. Overall, OxSpred enhances the utility of single‐cell transcriptomic datasets by providing a robust in silico method for determining intracellular oxidative stress states, thereby enriching the understanding of innate immune cell functions during inflammation.