The prediction of time series data applied to the energy sector (prediction of renewable energy production, forecasting prosumers’ consumption/generation, forecast of country-level consumption, etc.) has numerous useful applications. Nevertheless, the complexity and non-linear behaviour associated with such kind of energy systems hinder the development of accurate algorithms. In such a context, this paper investigates the use of a state-of-art deep learning architecture in order to perform precise load demand forecasting 24-h-ahead in the whole country of France using RTE data. To this end, the authors propose an encoder-decoder architecture inspired by WaveNet, a deep generative model initially designed by Google DeepMind for raw audio waveforms. WaveNet uses dilated causal convolutions and skip-connection to utilise long-term information. This kind of novel ML architecture presents different advantages regarding other statistical algorithms. On the one hand, the proposed deep learning model’s training process can be parallelized in GPUs, which is an advantage in terms of training times compared to recurrent networks. On the other hand, the model prevents degradations problems (explosions and vanishing gradients) due to the residual connections. In addition, this model can learn from an input sequence to produce a forecast sequence in a one-shot manner. For comparison purposes, a comparative analysis between the most performing state-of-art deep learning models and traditional statistical approaches is presented: Autoregressive-Integrated Moving Average (ARIMA), Long-Short-Term-Memory, Gated-Recurrent-Unit (GRU), Multi-Layer Perceptron (MLP), causal 1D-Convolutional Neural Networks (1D-CNN) and ConvLSTM (Encoder-Decoder). The values of the evaluation indicators reveal that WaveNet exhibits superior performance in both forecasting accuracy and robustness.