Why is Lord Shiva called Bholenath?
Lord Shiva is bhola (innocent) so He is called Bholenath (meaning the innocent One). He is easily pleased, and gives a boon to anyone who asks Him with love, and then He Himself gets caught into trouble (when the seeker of the boon misuses it or uses it against the Lord Himself). He innocently gives a boon to anybody who meditates upon Him, be it a demon or a demigod. He gives them whatever they want, that is why He is known as Bholenath.
Another meaning is when you become bhola (innocent from within) then He is your Nath (Lord or Master). You must have heard the saying, ‘Bhole Bhav Mile Raghurai’. It means that when you become innocent and pure from within, that very moment you become one with Divinity.
Note – Its an excerpt of Sri Sri Ravishankar Guruji’s discourses at Art of Living satsang.