Consider an explanatory regress. This does not necessarily stretch back into the past; it could refer to a present explanatory regress (such as the existence of the plant is dependent on the Sun, which is dependent on gravity, and so on). However, it could apply to either type of series:
A is explained by B which is explained by C which is explained by D....
Now, the question that is asked by cosmological arguments is: where does this series terminate? It seems there are three choices. It could go on to infinity:
It could terminate with an unexplained brute fact, represented here by a letter:
Notice there is nothing special about O. It's just another letter like all the others, but unlike the others, it has no explanation. As Bertrand Russell puts it, "it's just there, and that is all."
And finally, it could terminate with something that cannot even in principle have an explanation. Something entirely different from the rest of the series. Something that exists by necessity, represented here by the number 4:
Now, option 1 above never terminates; it just continually defers explanation, and so this seems to be the least tenable option.
Naturalism generally uses option 2, and states that the universe or multiverse is a brute fact, with no explanation even in principle. But note that there is nothing special about the letter O (representing the universe, or some fundamental physical fact). It is a letter just like any other. For no reason at all, it just has no explanation of its existence, and there is no explanation of why it has no explanation.
But theism is option 3, and theism concludes with something entirely different from the other objects. Since it is not like the other objects, it is not an exception to the general rule.
So it appears that naturalism is guilty of special pleading: there is a general rule that everything has an explanation, and then there is just this one thing which does not. And there is no justification given for why this one thing is an exception to this general rule.