Demand response (DR) is pivotal in enhancing the operational efficiency and reliability of power systems. Understanding prosumers’ behavior and their participation in DR programs is essential for utilities to design effective DR programs. Typically, prosumers are not concurrently exposed to multiple electricity price plans or engaged in distinct DR programs, which make the available data limited and introduces complexity in assessing their DR participation. Causal artificial intelligence offers a solution by enabling causal intervention and counterfactual analysis, facilitating the estimation of prosumers’ responses to demand-side programs without the necessity of experimental and control groups. This paper introduces a framework that integrates causal learning approaches for causal intervention and counterfactual analyses of prosumers’ DR participation and consumption behavior. The proposed framework incorporates domain knowledge of the power system to enhance model accuracy and performance. Simulation results demonstrate the effectiveness of the proposed framework with causal learning models in estimating prosumers’ DR participation and consumption behavior under different prices or DR programs. This capability allows utilities to gain a profound understanding of their prosumers, offering valuable insights for designing DR programs. Ultimately, this knowledge contributes to the reliable and efficient operation of power systems.