Deep neural networks have been widely adopted for climate prediction tasks and have achieved high prediction accuracy across many problems. However, their decision-making processes remain opaque, and the complexity of these models poses significant challenges for interpretation. A recent theoretical breakthrough, "Recursive Feature Machine" (RFM), provides an alternative methodology for climate prediction that is interpretable and data efficient. Applying RFM to El Niño–Southern Oscillation (ENSO) prediction yields promising interpretability results and offers insights into the most influential geographical features that the model learns from training data. The method is clean, easy to implement, and can be generalized to a broad range of scientific fields.