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We introduce an interpretable stochastic integrated machine learning based multiscale approach for the prediction of the macroscopic thermal conductivity in Polymeric graphene-enhanced composites (PGECs). This method encompasses the propagation of uncertain input parameters from the meso to macro scale, implemented through a foundational bottom-up multi-scale framework. In this context, Representative Volume Elements in Finite Element Modeling (RVE-FEM) are employed to derive the homogenized thermal conductivity. Besides, we employ two sets of techniques: Regression-tree-based methods (Random Forest and Gradient Boosting Machine) and Neural networks-based approaches (Artificial Neural Networks and Deep Neural Networks). To ascertain the relative influence of factors on output estimations, the SHapley Additive exPlanations (SHAP) algorithm is integrated. This interpretable machine learning methodology demonstrates strong alignment with published experimental data. It holds promise as an efficient and versatile tool for designing new composite materials tailored to applications involving thermal management.