We utilize explainable artificial intelligence techniques to examine the main link between oil market dynamics and US monetary policy uncertainty. Our analysis unveils key findings. First, higher oil prices and rising oil market uncertainty are significantly associated with elevated levels of monetary policy uncertainty. Second, option-implied oil market volatility (an indicator of oil market uncertainty) emerges as the most important predictor of monetary policy uncertainty. Third, option-implied oil market volatility frequently interacts with option-implied gold market volatility while oil prices mostly interact with fluctuations in the US dollar. The findings offer valuable insights into the understanding of monetary policy uncertainty.