One of the most important challenges in the Machine and Deep Learning areas today is to build good models using small datasets, because sometimes it is not possible to have large ones. Several techniques have been proposed in the literature to address this challenge. This paper aims at studying the different available Deep Learning techniques and performing a thorough experimentation to analyze which technique or combination thereof improves the performance and effectiveness of the models. A complete comparison with classical Machine Learning techniques was carried out, to contrast the results obtained using both techniques when working with small datasets. Thirteen algorithms were implemented and trained using three different small datasets (MNIST, Fashion MNIST, and CIFAR-10). Each experiment was evaluated using a well-established set of metrics (Accuracy, Precision, Recall, F1, and the Matthews correlation coefficient). The experimentation allowed concluding that it is possible to find a technique or combination of them to mitigate a lack of data, but this depends on the nature of the dataset, the amount of data, and the metrics used to evaluate them.