Influencer marketing videos have surged in popularity, yet significant gaps remain in understanding the relationship between video features and engagement. This challenge is intensified by the complexities of interpreting unstructured data. While deep learning models effectively leverage unstructured data to predict business outcomes, they often function as black boxes with limited interpretability, particularly when human validation is hindered by the absence of a known ground truth. To address this issue, the authors develop an “interpretable deep learning framework” that not only makes good out-of-sample predictions using unstructured data but also provides insights into the captured relationships. Inspired by visual attention in print advertising, the interpretation approach uses measures of model attention to video features, eliminating spurious associations through a two-step process and shortlisting relationships for formal causal testing. This method is applicable across well-known attention mechanisms—additive attention, scaled dot-product attention, and gradient-based attention—when analyzing text, audio, or video image data. Validated using simulations, this approach outperforms benchmark feature selection methods. This framework is applied to YouTube influencer videos, linking video features to measures of shallow and deep engagement developed based on the dual-system framework of thinking. The findings guide influencers and brands in prioritizing video features associated with deep engagement.