Machine learning models (e.g., neural networks) achieve high accuracy in wind power forecasting, but they are usually regarded as black boxes that lack interpretability. To address this issue, the paper proposes a glass-box approach that combines exceptional accuracy with transparency for wind power forecasting. Specifically, advanced artificial intelligence methods (e.g., gradient boosting) are innovatively employed to create shape functions within the forecasting model. These functions effectively map the intricate non-linear relationships between wind power output and input features. Furthermore, the forecasting model is enriched by incorporating interaction terms that adeptly capture interdependencies and synergies among the input features. Simulation results show that the proposed glass-box approach effectively interprets the results of wind power forecasting from both global and instance perspectives. Besides, it outperforms most benchmark models and exhibits comparable performance to the best-performing neural networks. This dual strength of transparency and high accuracy positions the proposed glass-box approach as a compelling choice for reliable wind power forecasting.