This study aims to identify the key predictors of the multidimensional energy poverty index (MEPI) by employing advanced machine learning (ML) ensemble methods. Traditional energy poverty research often relies on conventional statistical techniques, which limits the understanding of complex socioeconomic factors. To address this gap, we propose an approach using three distinct ML ensemble models: extreme gradient boosting (XGBoost)‐random forest (RF), XGBoost‐multiple linear regression (MLR), and XGBoost‐artificial neural network (ANN). These models are applied to a comprehensive dataset encompassing various socioeconomic indicators. The findings demonstrate that the XGBoost‐RF ensemble achieves exceptional accuracy and reliability, with a root mean squared error (RMSE) of 0.041, an R‐squared (R²) of 0.975, and a Pearson correlation coefficient of 0.992. The XGBoost‐MLR ensemble shows superior generalizability, maintaining a consistent R² of 0.845 across both the testing and training phases. The XGBoost‐ANN model balances complexity with predictive capability, achieving an RMSE of 0.056, an R² of 0.954 in the testing phase, and an R² of 0.799 in training. Significantly, the study identifies “Education,” “Food Consumption Score (FCS),” “Household Food Insecurity Access Scale (HFIA),” and “Dietary Diversity Score (DDS)” as critical predictors of MEPI. These results highlight the intricate relationship between energy poverty and factors related to food security and education. By integrating the insights from these ML models with policy initiatives, this study offers a promising new approach to addressing energy poverty. It highlights the importance of education, food security, and socioeconomic factors in crafting effective policy interventions.