Causality Explanation Generation refers to generate an explanation in natural language given an initial cause-effect pair. It demands rigorous explicit rationales to demonstrate the acquisition of implicit commonsense knowledge, which is unlikely to be easily memorized, making it challenging for large language models since they are often suffering from spurious causal associations when they encounter the content that does not exist in their memory. In this work, we introduce LEGO, a Multi-agent Collaborative Framework with Role-playing and Iterative Feedback for causality explanation generation. Specifically, we treat LLM as character malleable LEGO block and utilize role-playing to assign specific roles to five LLMs. We firstly devise a Fine-grained World Knowledge Integration Module to augment information about tasks for alleviating the phenomenon of spurious causal associations. Then, we leverage an Iterative Feedback and Refinement Module to improve the generated explanation by multi-aspect feedback. Extensive experiments on widely used WIKIWHY and e-CARE datasets show the superiority of our multi-agent framework in terms of reasoning about the causality among cause and effect.