Background: Alzheimer’s Disease (AD) stands out as one of the main causes of dementia worldwide and it represents around 65% of all dementia cases, affecting mainly elderly people. AD is composed of three evolutionary stages: Mild Cognitive Impairment (MCI), Mild and Moderate AD (ADM) and Advanced AD (ADA). It is crucial to create a tool for assisting AD diagnosis in its early stages with the aim of halting the disease progression. Methods: The main purpose of this study is to develop a system with the ability of differentiate each disease stage by means of Electroencephalographic Signals (EEG). Thereby, an EEG nonlinear multi-band analysis by Wavelet Packet was performed enabling to extract several features from each study group. Classic Machine Learning (ML) and Deep Learning (DL) methods have been used for data classification per EEG channel. Results: The maximum accuracies obtained were 78.9% (Healthy controls (C) vs. MCI), 81.0% (C vs. ADM), 84.2% (C vs. ADA), 88.9% (MCI vs. ADM), 93.8% (MCI vs. ADA), 77.8% (ADM vs. ADA) and 56.8% (All vs. All). Conclusions: The proposed method outperforms previous studies with the same database by 2% in binary comparison MCI vs. ADM and central and parietal brain regions revealed abnormal activity as AD progresses.