Here's an intuitive way, I believe, to understand it.
First off, we need to have some definitions, to understand exactly what we're talking about - in particular, we need to know what exactly we mean by a "closed system" or even a "system" in general, here. This is an important and crucial part of any deductive reasoning (and missing it is the source of many errors therein) - for it is, in effect, part of what supplies the premises, beyond also, plain facts regarding the situation.
You see, relativity, in its core insights, is really "just" a theory of principles describing space, time, and information. What you get in textbooks about "relativity" is actually a hybrid of the "true" core thrust of the theory, together with a Newtonian-style (in that it involves particles with infinite position and momentum information guaranteed at all times, forces, acceleration, and other such things) system of mechanics placed on top of it. This is important, because we need to distinguish that this statement, $E = mc^2$, more properly belongs to the "mechanics" part, and not the more fundamental "space-time-information" part.
Moreover, even more advanced theories of physics - in particular, relativstic quantum field theory - ditch many parts of the Newtonian mechanical framework apparatus, yet are still talked about as "combining special relativity with quantum mechanics", which further implies that these are not the core essence o the theory.
So how do we deal with this, then? Well, the archetypal "system" is a swarm of particles interacting by forces, just as in fully-Newtonian mechanics. Indeed, this should make some sense because "real" matter is kind of like this, though a precise microscopic description also requires us to take account of quantum mechanics (its gist is limitation of the information content) - so we can take as our imagined, intuitive scenario being a block of material which we will then be made to undergo heating. We will imagine, of course, an idealized material that can heat to arbitrary temperatures without vaporizing or other such things just to keep the amount of thought required down, though one should ultimately be able to show rigorously that the same result holds in all situations.
Now, you should know from studies of relativistic mechanics that one of the basic results that must obtain is that an elementary particle with nonzero mass is confined to move at speeds below the speed of light, once you fix a suitable reference frame with respect to which to talk about speeds.
So, consider the acceleration, to the observer in the ground frame, of such a particle undergoing steady force. At first, the acceleration will be steady - but then as it approaches the speed of light, it seems to tail off: for some reason, the force involved is becoming less and less effective at accelerating the mass, even though nothing about it has changed. This is because we're seeing the acceleration process, in effect, distorted by the geometry of space and time. For someone moving by it at a speed close to the speeds in this regime, they would see, at least for a time, a more normal acceleration profile.
Moreover, the process applies in reverse: once a particle is near the speed of light, it also follows that it is very hard - but quite crucially, not in a symmetric fashion - to deflect it left or right, or up or down, as well - harder than we'd expect from fully-Newtonian mechanics to make it curve its trajectory, even if by doing so, such curving would not cause its speed to exceed the speed of light. ("Not in a symmetric fashion" means that deflecting it left or right, or other kinds of deflections, has a different difficulty than speeding or slowing it.)
So, now, let us return to our magic block of material. Think about such a magic block of material that can be heated up to any temperature. As it does so, its particles jiggle around faster. We are adding energy to the system. Initially, their jiggling will be well below the speed of light, so we should not expect any noticeable difference from the Newtonian situation. But as the speed of light is approached, the particles' speeds with converge onto it.
Suppose now that, you were to try and grab (assuming you, also, are protected by a magic spell of invincibility) hold of the object and to shake it around. What would you notice? Well, "shaking it around" implies that every particle in it must be undergoing more-or-less synchronized deflections from their normal trajectories. Given that they are virtually all moving near the speed of light, and it's much harder to deflect such particles, it then becomes likewise harder to deflect the block as a whole, even though as a whole, the block is not moving initially! In effect, the "stickiness" I just mentioned similarly makes the particles "sticky" to the points in space at which they oscillate about in their thermal vibrations, and so the object as a whole gets similarly "stuck" - particle by particle - more firmly in one spot in space.
Since mass, perhaps by definition, is the physical parameter which characterizes the response curve of an object when subjected to a force, and it's now responding differently to the force from our hand than it would were it cold, we find that it seems like the mass of the whole object has changed. And, indeed, if you try to calculate this via rigorous mathematical derivation, you will find that its "effective mass" rises exactly in proportion to the added energy:
$$\Delta m_\mathrm{sys} = \frac{1}{c^2} (\Delta E)$$
or, in a more familiar but less directly-connected rearrangement,
$$\Delta E = (\Delta m_\mathrm{sys}) c^2$$
where $m_\mathrm{sys}$ is the system mass. :) And even more, that this doesn't depend on the distribution of speeds, either - so there's nothing particular about assuming a thermal (Maxwell-Boltzmann, or even better, Maxwell-Jüttner) distribution other than as a guide for setting intuition.
And of course, the factor $\frac{1}{c^2}$ explains why we don't notice this in real life, everyday objects, being equal to about $1.11 \times 10^{-14} \mathrm{\frac{kg}{kJ}}$. Hence if, say, I heat up a pot with 1 kg of water on the stove to boil, maybe a rise of 80 degrees Celsius (assuming room temp as 20 C and at standard pressure so boils at 100 C), then it should take roughly 320 kJ (since the specific heat capacity of water is roughly 4 $\mathrm{\frac{kJ}{kg \cdot K}}$), and gain a mass of $3 \times 10^{-12}\ \mathrm{kg}$ - utterly negligible and unmeasurable.