Brain-computer interface (BCI) refers to procedures that link the central nervous system to a device. BCI was historically performed using electroencephalography (EEG). In the last years, encouraging results were obtained by combining EEG with other neuroimaging technologies, such as functional near infrared spectroscopy (fNIRS). A crucial step of BCI is brain state classification from recorded signal features. Deep artificial neural networks (DNNs) recently reached unprecedented complex classification outcomes. These performances were achieved through increased computational power, efficient learning algorithms, valuable activation functions, and restricted or back-fed neurons connections. By expecting significant overall BCI performances, we investigated the capabilities of combining EEG and fNIRS recordings with state-of-the-art deep learning procedures. We performed a guided left and right hand motor imagery task on 15 subjects with a fixed classification response time of 1 s and overall experiment length of 10 min. Left versus right classification accuracy of a DNN in the multi-modal recording modality was estimated and it was compared to standalone EEG and fNIRS and other classifiers. At a group level we obtained significant increase in performance when considering multi-modal recordings and DNN classifier with synergistic effect. BCI performances can be significantly improved by employing multi-modal recordings that provide electrical and hemodynamic brain activity information, in combination with advanced non-linear deep learning classification procedures.