Interpretability of deep neural networks is a recently emerging area of machine learning research targeting a better understanding of how models perform feature selection and derive their classification decisions. This paper explores the interpretability of neural networks in the audio domain by using the previously proposed technique of layer-wise relevance propagation (LRP). We present a novel audio dataset of English spoken digits which we use for classification tasks on spoken digits and speaker's gender. We use LRP to identify relevant features for two neural network architectures that process either waveform or spectrogram representations of the data. Based on the relevance scores obtained from LRP, hypotheses about the neural networks' feature selection are derived and subsequently tested through systematic manipulations of the input data. The results confirm that the networks are highly reliant on features marked as relevant by LRP.