Multimodel ensembling has been widely used to improve climate model predictions, and the improvement strongly depends on the ensembling scheme. In this work, we propose a Bayesian neural network (BNN) ensembling method, which combines climate models within a Bayesian model averaging framework, to improve the predictive capability of model ensembles. Our proposed BNN approach calculates spatiotemporally varying model weights and biases by leveraging individual models’ simulation skill, calibrates the ensemble prediction against observations by considering observation data uncertainty, and quantifies epistemic uncertainty when extrapolating to new conditions. More importantly, the BNN method provides interpretability about which climate model contributes more to the ensemble prediction at which locations and times. Thus, beyond its predictive capability, the method also brings insights and understanding of the models to guide further model and data development. In this study, we apply the BNN weighting scheme to an ensemble of CMIP6 climate models for monthly precipitation prediction over the conterminous United States. In both synthetic and real case studies, we demonstrate that BNN produces predictions of monthly precipitation with higher accuracy than three baseline ensembling methods. BNN can correctly assign a larger weight to the regions and seasons where the individual model fits the observation better. Moreover, its offered interpretability is consistent with our understanding of localized climate model performance. Additionally, BNN shows an increasing uncertainty when the prediction is farther away from the period with constrained data, which appropriately reflects our predictive confidence and trustworthiness of the models in the changing climate.