Man overboard incidents in a maritime vessel are serious accidents where the rapid detection of the even is crucial for the safe retrieval of the person. To this end, the use of deep learning models as automatic detectors of these scenarios has been tested and proven efficient, however, the use of correct capturing methods is imperative in order for the learning framework to operate well. Thermal data can be a suitable method of monitoring, as they are not affected by illumination changes and are able to operate in rough conditions, such as open sea travel. We investigate the use of a convolutional autoencoder trained over thermal data, as a mechanism for the automatic detection of man overboard scenarios. Morever, we present a dataset that was created to emulate such events and was used for training and testing the algorithm.