Diagnosis of learning difficulties is a challenging goal. There are huge number of factors involved in the evaluation procedure that present high variance among the population with the same difficulty. Diagnosis is usually performed by scoring subjects according to results obtained in different neuropsychological (performance-based) tests specifically designed to this end. One of the most frequent disorders is developmental dyslexia (DD), a specific difficulty in the acquisition of reading skills not related to mental age or inadequate schooling. Its prevalence is estimated between 5% and 12% of the population. Traditional tests for DD diagnosis aim to measure different behavioral variables involved in the reading process. In this paper, we propose a diagnostic method not based on behavioral variables but on involuntary neurophysiological responses to different auditory stimuli. The experiments performed use electroencephalography (EEG) signals to analyze the temporal behavior and the spectral content of the signal acquired from each electrode to extract relevant (temporal and spectral) features. Moreover, the relationship of the features extracted among electrodes allows to infer a connectivity-like model showing brain areas that process auditory stimuli in a synchronized way. Then an anomaly detection system based on the reconstruction residuals of an autoencoder using these features has been proposed. Hence, classification is performed by the proposed system based on the differences in the resulting connectivity models that have demonstrated to be a useful tool for differential diagnosis of DD as well as a method to step towards gaining a better knowledge of the brain processes involved in DD. The results corroborate that nonspeech stimulus modulated at specific frequencies related to the sampling processes developed in the brain to capture rhymes, syllables and phonemes produces effects in specific frequency bands that differentiate between controls and DD subjects. The proposed method showed relatively high sensitivity above 0.6, and up to 0.9 in some of the experiments.