The use of convolutional neural networks (CNNs) for classification tasks has become dominant in various medical imaging applications. At the same time, recent advances in interpretable machine learning techniques have shown great potential in explaining classifiers decisions. Layer-wise relevance propagation (LRP) has been introduced as one of these novel methods that aim to provide visual interpretation for the networks decisions. In this work we propose the application of 3D CNNs with LRP for the first time for neonatal T2-weighted magnetic resonance imaging (MRI) data analysis. Through LRP, the decisions of our trained classifier are transformed into heatmaps indicating each voxels relevance for the outcome of the decision. Our resulting LRP heatmaps reveal anatomically plausible features in distinguishing preterm neonates from term ones.