In spite of the worldwide financial and research efforts made, the pathophysiological mechanism at the basis of Alzheimer's disease (AD) is still poorly understood. Previous studies using electroencephalography (EEG) have focused on the slowing of oscillatory brain rhythms, coupled with complexity reduction of the corresponding time-series and their enhanced compressibility. These analyses have been typically carried out on single channels. However, limited investigations have focused on the possibility yielded by computational intelligence methodologies and novel machine learning approaches applied to multichannel schemes. The study at screening level on EEG recordings of subjects at risk could be useful to highlight the emergence of underlying AD progression (or at least support any further clinical investigation). In this work, the representational power of Deep Learning on Convolutional Neural Networks (CNN) is exploited to generate suitable sets of features that are then able to classify EEG patterns of AD from a prodromal version of dementia (Mild Cognitive Impairment, MCI) and from age-matched Healthy Controls (HC). The processing system here used enforces a series of convolutional-subsampling layers in order to derive a multivariate assembly of latent, novel patterns, finally used to categorize sets of EEG from different classes of subjects. The final processor here proposed is able to reach an averaged 80% of correct classification with good performance on both sensitivity and specificity by using a Multilayered Feedforward Perceptron (MLP) of the standard type as a final block of the procedure.