The latest generation of high-spatial-resolution satellites produces measurements of high-temperature volcanic features at global scale, which are valuable to monitor volcanic activity. Recent advances in technology and increased computational resources have resulted in an extraordinary amount of monitoring data, which can no longer be so readily examined. Here, we present an automatic detection algorithm based on a deep convolutional neural network (CNN) that uses infrared satellite data to automatically determine the presence of volcanic thermal activity. We exploit the potentiality of the transfer learning technique to retrain a pre-trained SqueezeNet CNN to a new domain. We fine-tune the weights of the network over a new dataset opportunely created with images related to thermal anomalies of different active volcanoes around the world. Furthermore, an ensemble approach is employed to enhance accuracy and robustness when compared to using individual models. We chose a balanced training dataset with two classes, one containing volcanic thermal anomalies (erupting volcanoes) and the other containing no thermal anomalies (non-erupting volcanoes), to differentiate between volcanic scenes with eruptive and non-eruptive activity. We used satellite images acquired in the infrared bands by ESA Sentinel-2 Multispectral Instrument (MSI) and NASA & USGS Landsat 8 Operational Land Imager and Thermal InfraRed Sensor (OLI/TIRS). This deep learning approach makes the model capable of identifying the appearance of a volcanic thermal anomaly in the images belonging to the volcanic domain with an overall accuracy of 98.3%, recognizing the scene with active flows and erupting vents (i.e., eruptive activity) and the volcanoes at rest. This model is generalizable, and has the capability to analyze every image captured by these satellites over volcanoes around the world.