Currently, machine learning methods are widely applied in the power industry to solve various tasks, including short-term power consumption forecasting. However, the lack of interpretability of machine learning methods can lead to their incorrect use, potentially resulting in electrical system instability or equipment failures. This article addresses the task of short-term power consumption forecasting, one of the tasks of enhancing the energy efficiency of gas industry enterprises. In order to reduce the risks of making incorrect decisions based on the results of short-term power consumption forecasts made by machine learning methods, the SHapley Additive exPlanations method was proposed. Additionally, the application of a multi-agent approach for the decomposition of production processes using self-generation agents, energy storage agents, and consumption agents was demonstrated. It can enable the safe operation of critical infrastructure, for instance, adjusting the operation modes of self-generation units and energy-storage systems, optimizing the power consumption schedule, and reducing electricity and power costs. A comparative analysis of various algorithms for constructing decision tree ensembles was conducted to forecast power consumption by gas industry enterprises with different numbers of categorical features. The experiments demonstrated that using the developed method and production process factors reduced the MAE from 105.00 kWh (MAPE of 16.81%), obtained through expert forecasting, to 15.52 kWh (3.44%). Examples were provided of how the use of SHapley Additive exPlanation can increase the safety of the electrical system management of gas industry enterprises by improving experts’ confidence in the results of the information system.