This study presents a new approach to understand the causes of groundwater drought events with interpretable deep learning (DL) models. As prerequisites, accurate long short‐term memory (LSTM) models for simulating groundwater are built for 16 regions representing three types of spatial scales in the southeastern United States, and standardized groundwater index is applied to identify 233 groundwater drought events. Two interpretation methods, expected gradients (EG) and additive decomposition (AD), are adopted to decipher the DL‐captured patterns and inner workings of LSTM networks. The EG results show that: (a) temperature‐related features were the primary drivers of large‐scale groundwater droughts, with their importance increasing from 56.1% to 63.1% as the drought events approached from 6 months to 15 days. Conversely, precipitation‐related features were found to be the dominant factors in the formation of groundwater drought in small‐scale catchments, with the overall importance ranging from 59.8% to 53.3%; (b) Seasonal variations in the importance of temperature‐related factors are inversely related between large and small spatial scales, being more significant in summer for larger regions and in winter for catchments; and (c) temperature‐related factors exhibited an overall “trigger effect” on causing groundwater drought events in the studying areas. The AD method unveiled how the LSTM network behaved differently in retaining and discarding information when emulating different groundwater droughts. In summary, this study provides a new perspective for the causes of groundwater drought events and highlights the potential and prospect of interpretable DL in enhancing our understanding of hydrological processes.