Detecting natural gas leaks is one of the most important measures in the oil industry for preventing accidents. The literature provides different techniques for detecting natural gas leaks. However, except for previous studies by the authors on this topic, there remains a gap in the literature on leak detection of natural gas using digital images, without the need for sensors or special cameras calibrated for the spectrum of methane molecules. These previous studies used image-processing techniques associated with a novelty filter classifier to detect the presence or absence of visible cloud of hydrocarbon vapors, that is, a natural gas plume in Closed Circuit Television (CCTV) frames installed in onshore wellheads. In this paper, we present a new method for detecting natural gas leaks in oil facilities that enhances the results obtained previously, along with the Gradient-weighted Class Activation Mapping Algorithm (Grad-CAM) to identify natural gas leaks. In this new method, convolutional neural networks (CNN) are applied to classify images (CCTV frames) as belonging to classes with or without natural gas leaks in onshore wellheads. Experimental results showed that the best performance model presented an accuracy of 99.78% and false negative rate of 0.00%.