This study aims at assessing the usefulness of deep learning to enhance the diagnostic ability of oximetry in the context of automated detection of pediatric obstructive sleep apnea (OSA). A total of 3196 blood oxygen saturation (SpO2) signals from children were used for this purpose. A convolutional neural network (CNN) architecture was trained using 20-min SpO2 segments from the training set (859 subjects) to estimate the number of apneic events. CNN hyperparameters were tuned using Bayesian optimization in the validation set (1402 subjects). This model was applied to three test sets composed of 312, 392, and 231 subjects from three independent databases, in which the apnea-hypopnea index (AHI) estimated for each subject (AHICNN) was obtained by aggregating the output of the CNN for each 20-min SpO2 segment. AHICNN outperformed the 3% oxygen desaturation index (ODI3), a clinical approach, as well as the AHI estimated by a conventional feature-engineering approach based on multi-layer perceptron (AHIMLP). Specifically, AHICNN reached higher four-class Cohen's kappa in the three test databases than ODI3 (0.515 vs 0.417, 0.422 vs 0.372, and 0.423 vs 0.369) and AHIMLP (0.515 vs 0.377, 0.422 vs 0.381, and 0.423 vs 0.306). In addition, our proposal outperformed state-of-the-art studies, particularly for the AHI severity cutoffs of 5 e/h and 10 e/h. This suggests that the information automatically learned from the SpO2 signal by deep-learning techniques helps to enhance the diagnostic ability of oximetry in the context of pediatric OSA.