Assessing the integrity of neural functions in coma after cardiac arrest remains an open challenge. Prognostication of coma outcome relies mainly on visual expert scoring of physiological signals, which is prone to subjectivity and leaves a considerable number of patients in a 'grey zone', with uncertain prognosis. Quantitative analysis of EEG responses to auditory stimuli can provide a window into neural functions in coma and information about patients' chances of awakening. However, responses to standardized auditory stimulation are far from being used in a clinical routine due to heterogeneous and cumbersome protocols. Here, we hypothesize that convolutional neural networks can assist in extracting interpretable patterns of EEG responses to auditory stimuli during the first day of coma that are predictive of patients' chances of awakening and survival at 3 months. We used convolutional neural networks (CNNs) to model single-trial EEG responses to auditory stimuli in the first day of coma, under standardized sedation and targeted temperature management, in a multicentre and multiprotocol patient cohort and predict outcome at 3 months. The use of CNNs resulted in a positive predictive power for predicting awakening of 0.83 ± 0.04 and 0.81 ± 0.06 and an area under the curve in predicting outcome of 0.69 ± 0.05 and 0.70 ± 0.05, for patients undergoing therapeutic hypothermia and normothermia, respectively. These results also persisted in a subset of patients that were in a clinical 'grey zone'. The network's confidence in predicting outcome was based on interpretable features: it strongly correlated to the neural synchrony and complexity of EEG responses and was modulated by independent clinical evaluations, such as the EEG reactivity, background burst-suppression or motor responses. Our results highlight the strong potential of interpretable deep learning algorithms in combination with auditory stimulation to improve prognostication of coma outcome.