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Current standard protocols used in the clinic for diagnosing COVID-19 include molecular or antigen tests, generally complemented by a plain chest X-Ray. The combined analysis aims to reduce the significant number of false negatives of these tests, but also to provide complementary evidence about the presence and severity of the disease. However, the procedure is not free of errors, and the interpretation of the chest X-Ray is only restricted to radiologists due to its complexity. With the long term goal to provide new evidence for the diagnosis, this paper presents an evaluation of different methods based on a deep neural network. These are the first steps to develop an automatic COVID-19 diagnosis tool using chest X-Ray images, that would additionally differentiate between controls, pneumonia or COVID-19 groups. The paper describes the process followed to train a Convolutional Neural Network with a dataset of more than 79,500 X-Ray images compiled from different sources, including more than 8,500 COVID-19 examples. For the sake of evaluation and comparison of the models developed, three different experiments were carried out following three preprocessing schemes. The aim is to evaluate how preprocessing the data affects the results and improves its explainability. Likewise, a critical analysis is carried out about different variability issues that might compromise the system and the effects on the performance. With the employed methodology, a 91.5% classification accuracy is obtained, with a 87.4% average recall for the worst but most explainable experiment, which requires a previous automatic segmentation of the lungs region.