Nowadays, our security and privacy are strongly threatened by malware programs which aim to steal our confidential data and make our systems out of service, among other things. While traditional signature-based malware detection methods or statistical analysis have proven to be ineffective and time-consuming, recently data-driven Artificial Intelligence (AI) techniques, i.e. Machine Learning (ML) and Deep Learning (DL) approaches, have been successfully applied leveraging the behavior of malware in terms of API calls, and achieving promising performances. However, their black-box behavior leads to a lack of explainability thus preventing their application in real world scenarios. In light of this, eXplainable Artificial Intelligence (XAI) methodologies and tools can be effectively embedded within an AI-based malware detection process in order to make more understandable the produced results. In this paper, we propose a XAI framework for behavioral malware detection problems and evaluate the usefulness of four XAI methods (SHAP, LIME, LRP and Attention mechanism) on three datasets with different size, sequence length and number of classes, by which we could evaluate the strengths and weaknesses – from effectiveness and efficiency point of views – of recurrent deep architectures (i.e. Long-Short Term Memory (LSTM) and Gated Recurrent Unit (GRU) models), and their applicability in the modern Cyber Security (CS) scenarios.