(1) Background: The present study aims to evaluate and compare the model performances of different convolutional neural networks (CNNs) used for classifying sagittal skeletal patterns. (2) Methods: A total of 2432 lateral cephalometric radiographs were collected. They were labeled as Class I, Class II, and Class III patterns, according to their ANB angles and Wits values. The radiographs were randomly divided into the training, validation, and test sets in the ratio of 70%:15%:15%. Four different CNNs, namely VGG16, GoogLeNet, ResNet152, and DenseNet161, were trained, and their model performances were compared. (3) Results: The accuracy of the four CNNs was ranked as follows: DenseNet161 > ResNet152 > VGG16 > GoogLeNet. DenseNet161 had the highest accuracy, while GoogLeNet possessed the smallest model size and fastest inference speed. The CNNs showed better capabilities for identifying Class III patterns, followed by Classes II and I. Most of the samples that were misclassified by the CNNs were boundary cases. The activation area confirmed the CNNs without overfitting and indicated that artificial intelligence could recognize the compensatory dental features in the anterior region of the jaws and lips. (4) Conclusions: CNNs can quickly and effectively assist orthodontists in the diagnosis of sagittal skeletal classification patterns.