Spatial accurate mapping of land susceptibility to wind erosion is necessary to mitigate its destructive consequences. In this research, for the first time, we developed a novel methodology based on deep learning (DL) and active learning (AL) models, their combination (e.g., recurrent neural network (RNN), RNN-AL, gated recurrent units (GRU), and GRU-AL) and three interpretation techniques (e.g., synergy matrix, SHapley Additive exPlanations (SHAP) decision plot, and accumulated local effects (ALE) plot) to map global land susceptibility to wind erosion. In this respect, 13 variables were explored as controlling factors to wind erosion, and eight of them (e.g., wind speed, topsoil carbon content, topsoil clay content, elevation, topsoil gravel fragment, precipitation, topsoil sand content and soil moisture) were selected as important factors via the Harris Hawk Optimization (HHO) feature selection algorithm. The four models were applied to map land susceptibility to wind erosion, and their performance was assessed by three measures consisting of area under of receiver operating characteristic (AUROC) curve, cumulative gain and Kolmogorov Smirnov (KS) statistic plots. The results revealed that GRU-AL model was considered as the most accurate, revealing that 38.5%, 12.6%, 10.3%, 12.5% and 26.1% of the global lands are grouped at very low, low, moderate, high and very high susceptibility classes to wind erosion hazard, respectively. Interpretation techniques were applied to interpret the contribution and impact of the eight input variables on the model’s output. Synergy plot revealed that the soil carbon content exhibited high synergy with DEM and soil moisture on the model’s predictions. ALE plot showed that soil carbon content and precipitation had negative feedback on the prediction of land susceptibility to wind erosion. Based on SHAP decision plot, soil moisture and DEM presented the highest contribution on the model’s output. Results highlighted new regions at high latitudes (southern Greenland coast, hotspots in Alaska and Siberia), which exhibited high and very high land susceptibility to wind erosion.