Deep neural networks (DNN) have been successfully applied to develop air pollutant forecasting models. Once trained, they can learn the complex relationships and non-linearities present in atmospheric variables, delivering solutions that require less computational resources than numerical and analytical models. This study aims to develop a DNN to forecast concentrations of ozone (O3) for the next 24hs. We tested several DNN using, as input, a multivariate time series dataset. When wavelets (WL) were integrated into the DNN's architectures, they improved the models' performance, pointing towards a consistent modeling architecture for air pollution forecasting. These deep learning models showed flexibility, strong nonlinear fitting capabilities and an ability to map nonlinear complexity from the data for air pollution forecasting.