In this paper we have tackled the problem of long-term air temperature prediction with eXplainable Artificial Intelligence (XAI) models. Specifically, we have evaluated the performance of an Artificial Neural Network (ANN) architecture with sigmoidal neurons in the hidden layer, trained by means of an evolutionary algorithm (Evolutionary ANNs, EANNs). This XAI model architecture (XAI-EANN) has been applied to the long-term air temperature prediction at different sub-regions of the South of the Iberian Peninsula. In this case, the average August air temperature has been predicted from ERA5 Reanalysis data variables, obtaining good predictions skills and explainable models in terms of the input climatological variables considered. A cluster analysis has been first carried out in terms of the average air temperature in the zone, in such a way that a number of sub-regions with different air temperature behaviour have been defined. The proposed XAI-EANN model architecture has been applied to each of the defined sub-regions, in order to find significant differences among them, which can be explained with the XAI-EANN models obtained. Finally, a comprehensive comparison against some state-of-the-art techniques has also been carried out, concluding that there are statistically significant differences in terms of accuracy in favour of the proposed XAI-EANN model, which also benefits from being an XAI model.