The rapid development of Artificial Intelligence (AI) is revolutionizing an increasing number of fields and industries. The exploration of another planet through autonomous rovers could be considered the most fascinating application of such technologies. These robots need efficient and robust autonomous guidance and navigation techniques to make decisions and avoid obstacles in challenging and partially unknown environments. Machine Learning is a type of AI, and Deep Reinforcement Learning is one of the most recent and promising techniques to face this challenge among its branches. It combines the framework of the Reinforcement Learning approaches, where an agent learns a policy that maps states into actions by interacting with an environment and obtaining a numerical reward depending on its behaviour, with the approximation ability of the Deep Neural Networks.