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This study explores machine learning for estimating soil moisture at multiple depths (0–5 cm, 0–10 cm, 0–20 cm, 0–50 cm, and 0–100 cm) across the coterminous United States. A framework is developed that integrates soil moisture from Soil Moisture Active Passive (SMAP), precipitation from the Global Precipitation Measurement (GPM), evapotranspiration from the Ecosystem Spaceborne Thermal Radiometer Experiment on Space Station (ECOSTRESS), vegetation data from the Moderate Resolution Imaging Spectroradiometer (MODIS), soil properties from gridded National Soil Survey Geographic (gNATSGO), and land cover information from the National Land Cover Database (NLCD). Five machine learning algorithms are evaluated including the feed-forward artificial neural network, random forest, extreme gradient boosting (XGBoost), Categorical Boosting, and Light Gradient Boosting Machine. The methods are tested by comparing to in situ soil moisture observations from several national and regional networks. XGBoost exhibits the best performance for estimating soil moisture, achieving higher correlation coefficients (ranging from 0.76 at 0–5 cm depth to 0.86 at 0–100 cm depth), lower root mean squared errors (from 0.024 cm3/cm3 at 0–100 cm depth to 0.039 cm3/cm3 at 0–5 cm depth), higher Nash–Sutcliffe Efficiencies (from 0.551 at 0–5 cm depth to 0.694 at 0–100 cm depth), and higher Kling–Gupta Efficiencies (0.511 at 0–5 cm depth to 0.696 at 0–100 cm depth). Additionally, XGBoost outperforms the SMAP Level 4 product in representing the time series of soil moisture for the networks. Key factors influencing the soil moisture estimation are elevation, clay content, aridity index, and antecedent soil moisture derived from SMAP.