The performance versus interpretability trade-off has been well-established in the literature for many years in the context of machine learning models. This paper demonstrates its twin, namely the data-centric performance versus interpretability trade-off. In a case study of bearing fault diagnosis, we found that substituting the original acceleration signal with a demodulated version offers a higher level of interpretability, but it comes at the cost of significantly lower classification performance. We demonstrate these results on two different datasets and across four different machine learning algorithms. Our results suggest that “there is no free lunch,” i.e., the contradictory relationship between interpretability and performance should be considered earlier in the analysis process than it is typically done in the literature today; in other words, already in the preprocessing and feature extraction step. © 2023, The Author(s), under exclusive license to Springer Nature Switzerland AG.