As mentioned in frougon's answer, tikzmark
can be used here. However, I think one should also make sure that the annotation does not overlap with the text. So one may want to put the tikzpicture
inside the equation, measure the relevant distance and add it.

\documentclass{article}
\usepackage{amsmath}
\usepackage{tikz}
\usetikzlibrary{calc,tikzmark}
\newcommand{\diff}{\mathop{}\!\mathrm{d}}
\begin{document}
Some text before the equation.
\[ \left( \,\int\limits_{-\infty}^\infty \mathrm{e}^{-x^2} \diff x \right)^{2}
\tikzmarknode{eqsign}{=}
\int\limits_{-\infty}^\infty \int\limits_{-\infty}^\infty
\mathrm{e}^{-x^2-y^2} \diff x \diff y
\begin{tikzpicture}[remember picture,baseline={(tmp.base)}]
\node(tmp){\vphantom{1}};
\draw[latex-, overlay] (eqsign.south) |- ++(-1,-0.7) -- ++ (0,-0.5)
node[below] (expl) {explanation};
% add point to tikzpicture to make it take the right size, subtract inner sep
\path ([yshift=2pt]expl.south-|tmp);
\end{tikzpicture}
\]
Some more text after the equation.
\end{document}