Epidemiological studies have revealed the associations of air pollutants and meteorological factors with a range of mental health conditions. However, little is known about local explanations and global understanding on the importance and effect of input features in the complex system of environmental stressors - mental disorders (MDs), especially for exposure to air pollution mixture. In this study, we combined deep learning neural networks (DLNNs) with SHapley Additive exPlanation (SHAP) to predict the illness risk of MDs on the population level, and then provided explanations for risk factors. The modeling system, which was trained on day-by-day hospital outpatient visits of two major hospitals in Nanjing, China from 2013/07/01 through 2019/02/28, visualized the time-varying prediction, contributing factors, and interaction effects of informative features. Our results suggested that NO(2), SO(2), and CO made outstanding contributions in magnitude of feature attributions under circumstances of mixed air pollutants. In particular, NO(2) at high concentration level was associated with an increase in illness risk of MDs, and the maximum and mean absolute SHAP value were approximated to 10 and 2 as a local and global measure of feature importance, respectively. It presented a marginally antagonistic effect for two pairs of gaseous pollutants, i.e., NO(2) vs. SO(2) and CO vs. NO(2). In contrast, CO and SO(2) displayed the opposite direction of feature effects to the rise of observed concentrations, but an apparent synergistic effect was obviously captured. The primary risk factors driving a sharp increase in acute attack or exacerbation of MDs were also identified by depicting prediction paths of time-series samples. We believe that the significance of coupling accurate predictions from DLNNs with interpretable explanations of why a prediction is completed has broad applicability throughout the field of environmental health.