Air pollution is an issue of great concern globally due to the risks to the health of humanity, animals, and ecosystems. On the one hand, air quality monitoring systems allow for determining the concentration level of air pollutants and health risks through an air quality index (AQI). On the other hand, accurate future predictions of air pollutant concentration levels can provide valuable information for data-driven decision-making to reduce health risks from short- and long-term exposure when indicators exceed permissible limits. In this paper, five deep learning architectures are evaluated to predict the concentration of particulate matter pollutants (in their fractions PM2.5 and PM10) and carbon monoxide (CO) in consecutive hours. The proposed prediction models are based on recurrent neural networks (RNNs), long short-term memory (LSTM), vanilla LSTM, Stacked LSTM, Bi-LSTM, and encoder–decoder LSTM networks. Moreover, a methodology is presented to guide the construction of the prediction model, encompassing raw data processing, model design and optimization, and neural network training, testing, and evaluation. The results underscore the precision and reliability of the Stacked LSTM model in predicting the hourly concentration level for PM2.5, with an RMSE of 3.4538 μg/m3. Similarly, the encoder–decoder LSTM model accurately predicts the concentration level for PM10 and CO, with an RMSE of 3.2606 μg/m3 and 2.1510 ppm, respectively. These evaluations, with their minimal differences in error metrics and coefficient of determination, validate the effectiveness and superiority of the deep learning models over other reference models, instilling confidence in their potential.