As a critical alpine transition zone linking the Qinghai–Tibet Plateau and the Loess Plateau, Gannan Prefecture acts as an important water conservation area in the upper Yellow River basin of China. Based on GLDAS-2.1 surface soil moisture (SSM) datasets spanning 2000–2022 and interpretable machine learning tools (SHAP and ALE), this paper analyzes the spatiotemporal evolution, future trend sustainability, and nonlinear statistical associations between environmental predictors and SSM. The main results were as follows: (1) SSM exhibited a significant upward trend with an annual growth rate of 0.18 kg·m⁻²·a⁻¹ (p < 0.001), and an abrupt turning point occurred in 2017. The spatial pattern of high SSM in the southeast and low SSM in the northwest remained relatively stable, with the centroid migration distance being less than 1.81 km; most regions presented statistically significant moistening trends (p < 0.05). (2) Natural environmental predictors jointly carried 95.79% of the total statistical explanatory weight for modeled SSM variability. Precipitation possessed the highest explanatory proportion (37.93%), followed by temperature (27.30%), potential evapotranspiration (ET_p, 12.26%), elevation (10.44%), and fractional vegetation cover (FVC, 7.77%). One-dimensional ALE curves identified sample-limited statistical breakpoints: SSM gradually plateaued when precipitation reached 650–700 mm, while modeled SSM decreased substantially once ET_p exceeded 800 mm·a⁻¹. Two-dimensional ALE further characterized combined statistical correlations among precipitation, temperature, and ET_p. Model outputs also indicated that FVC above 0.45 corresponded to enhanced soil water retention within the observed sample range, which only reflects statistical patterns captured in this dataset rather than universal regulatory standards. This study offers quantitative statistical understanding of SSM variations across alpine transition zones.