Establishment of scaling relation among the reaction intermediates is highly important but very much challenging on complex surfaces, such as surfaces of high entropy alloys (HEAs). Herein, we designed an interpretable machine learning (ML) approach to establish a scaling relation among CO2 reduction reaction (CO2RR) intermediates adsorbed at same adsorption site. Local Interpretable Model‐Agnostic Explanations (LIME), Accumulated Local Effects (ALE) and Permutation Feature Importance (PFI) are used for the global and local interpretation of the utilized black box models. These methods are successfully applied through an iterative way and validated on CuCoNiZnMg and CuCoNiZnSn‐based HEAs data. Finally, we successfully predicted adsorption energies of *H2CO (MAE: 0.24 eV) and *H3CO (MAE: 0.23 eV) using the *HCO training data. Similarly, adsorption energy of *O (MAE: 0.32 eV) is also predicted from *H training data. We believe that our proposed method can shift the paradigm of state‐of‐the‐art ML in catalysis towards better interpretability.