Standard feature engineering involves manually designing and assessing measurable descriptors based on some expert knowledge in the domain of application, followed by the selection of the best performing set of designed features in order to optimize an inference model. Several studies have shown that this whole manual process can be efficiently replaced by deep learning approaches which are characterized by the integration of feature engineering, feature selection and inference model optimization into a single learning process. Such techniques have proven to be very successful in the domain of image processing and have been able to attain state-of-the-art performances while significantly outperforming traditional approaches based on hand-crafted features. In the following work, we explore deep learning approaches for the analysis of physiological signals. More precisely, deep learning architectures are designed for the assessment of measurable physiological channels in order to perform an accurate classification of different levels of artificially induced nociceptive pain. Most of the previous works related to pain intensity classification based on physiological signals rely on a carefully designed set of hand-crafted features in order to achieve a relatively good classification performance. Therefore, the current work aims at building competitive pain intensity classification models without the need of domain specific expert knowledge for the generation of relevant features. The assessment of the designed deep learning architectures is based on the BioVid Heat Pain Database (Part A) and experimental validation demonstrates that the proposed uni-modal architecture for the electrodermal activity (EDA) and the deep fusion approaches significantly outperform previous classification methods reported in the literature, with respective average performances of 85.03% and 83.76% for the binary classification experiment consisting of the discrimination between the baseline level and the pain tolerance level (T 0 vs.T 4 ) in a Leave-One-Subject-Out (LOSO) cross-validation evaluation setting.