Distal sensorimotor polyneuropathy (DSPN) is a common neurological disorder in elderly adults and people with obesity, prediabetes and diabetes and is associated with high morbidity and premature mortality. DSPN is a multifactorial disease and not fully understood yet. In order to address this, we developed the Interpretable Multimodal Machine Learning (IMML) framework for predicting DSPN prevalence and incidence based on sparse multimodal data. Exploiting IMMLs interpretability further empowered biomarker identification. We leveraged the population-based KORA F4/FF4 cohort including 1,091 participants and their deep multimodal characterisation, i.e. clinical data, genomics, methylomics, transcriptomics, proteomics, inflammatory proteins and metabolomics. Clinical data alone was sufficient to stratify individuals with and without DSPN (AUROC = 0.752), whilst predicting DSPN incidence 6.5 years later strongly benefitted from clinical data complemented with two or more molecular modalities (improved AUROC >0.1, achieved AUROC of 0.714). Important and interpretable features of the prediction of incident DSPN included up-regulation of proinflammatory cytokines, down-regulation of SUMOylation pathway and essential fatty acids, thus yielding novel insights in the disease pathophysiology. These may become biomarkers for incident DSPN, guide prevention strategies and serve as proof of concept for the utility of IMML in studying complex diseases.