Climate models play a critical role in understanding and projecting climate change. Due to their complexity, their horizontal resolution of ~40-100 km remains too coarse to resolve processes such as clouds and convection, which need to be approximated via parameterizations. These parameterizations are a major source of systematic errors and large uncertainties in climate projections. Deep learning (DL)-based parameterizations, trained on computationally expensive, short high-resolution simulations, have shown great promise for improving climate models in that regard. However, their lack of interpretability and tendency to learn spurious non-physical correlations result in reduced trust in the climate simulation. We propose an efficient supervised learning framework for DL-based parameterizations that leads to physically consistent models with improved interpretability and negligible computational overhead compared to standard supervised training. First, key features determining the target physical processes are uncovered. Subsequently, the neural network is fine-tuned using only those relevant features. We show empirically that our method robustly identifies a small subset of the inputs as actual physical drivers, therefore, removing spurious non-physical relationships. This results in by design physically consistent and interpretable neural networks while maintaining the predictive performance of standard black-box DL-based parameterizations. Our framework represents a crucial step in addressing a major challenge in data-driven climate model parameterizations by respecting the underlying physical processes, and may also benefit physically consistent deep learning in other research fields.