Indoor occupancy prediction can play a vital role in the energy-efficient operation of building engineering systems and maintaining satisfactory indoor climate conditions at the lowest possible energy use by operating these systems on the basis of occupancy data. Many methods have been proposed to predict occupancy in residential buildings according to different data types, e.g., digital cameras, motion sensors, and indoor climate sensors. Among these proposed methods, those with indoor climate data as input have received significant interest due to their less intrusive and cost-effective approach. This paper proposes a deep learning method called CNN-XGBoost to predict occupancy using indoor climate data and compares the performance of the proposed method with a range of supervised and unsupervised machine learning algorithms plus artificial neural network algorithms. The comparison is performed using mean absolute error, confusion matrix, and F1 score. Indoor climate data used in this work are CO2, relative humidity, and temperature measured by sensors for 13 days in December 2021. We used inexpensive sensors in different rooms of a residential building with a balanced mechanical ventilation system located in northwest Copenhagen, Denmark. The proposed algorithm consists of two parts: a convolutional neural network that learns the features of the input data and a scalable end-to-end tree-boosting classifier. The result indicates that CNN-XGBoost outperforms other algorithms in predicting occupancy levels in all rooms of the test building. In this experiment, we achieved the highest accuracy in occupancy detection using inexpensive indoor climate sensors in a mechanically ventilated residential building with minimum privacy invasion.