In this paper we approach the problem of predicting air quality in the region of Madrid using long short term memory recurrent artificial neural networks. Air quality, in this study, is represented by the concentrations of a series of air pollutants which are proved as risky for human health such as CO, NO2, O3, PM10, SO2 and airborne pollen concentrations of two genus (Plantago and Poaceae). These concentrations are sampled in a set of locations in the city of Madrid. Instead of training an array of models, one per location and pollutant, several comprehensive deep network configurations are compared to identify those which are able to better extract relevant information out of the set of time series in order to predict one day-ahead air quality. The results, supported by statistical evidence, indicate that a single comprehensive model might be a better option than multiple individual models. Such comprehensive models represent a successful tool which can provide useful forecasts that can be thus applied, for example, in managerial environments by clinical institutions to optimize resources in expectation of an increment of the number of patients due to the exposure to low air quality levels.