In recent years, there has been a surge focusing on advanced sound source localization methods based on deep learning. However, the black-box feature extraction mechanism impedes their optimization. This study proposes a two-step grid-free method for locating multiple sources based on deep ensemble learning and interpretable artificial intelligence (AI). In the first step, sound pressure signals received by a spherical microphone array are preprocessed into auto-power spectra, which are then fed into a classifier to count the sources. In the second step, the aforementioned signals are converted into generalized cross-correlations with phase transform (GCC-PHAT), which are then input to an ensemble regressor comprising four types of regressors for source localization. Additionally, two interpretable AI techniques, t-distributed stochastic neighbor embedding and activation maps, are employed to analyze the underlying principles of the deep learning-based method. The classifier achieves a testing accuracy of 94.59