diff --git a/sbx/dqn/dqn.py b/sbx/dqn/dqn.py
index cde94b8..852b823 100644
--- a/sbx/dqn/dqn.py
+++ b/sbx/dqn/dqn.py
@@ -11,12 +11,13 @@
 
 from sbx.common.off_policy_algorithm import OffPolicyAlgorithmJax
 from sbx.common.type_aliases import ReplayBufferSamplesNp, RLTrainState
-from sbx.dqn.policies import DQNPolicy
+from sbx.dqn.policies import CNNPolicy, DQNPolicy
 
 
 class DQN(OffPolicyAlgorithmJax):
     policy_aliases: ClassVar[Dict[str, Type[DQNPolicy]]] = {  # type: ignore[assignment]
         "MlpPolicy": DQNPolicy,
+        "CnnPolicy": CNNPolicy,
     }
     # Linear schedule will be defined in `_setup_model()`
     exploration_schedule: Schedule
@@ -36,6 +37,7 @@ def __init__(
         exploration_fraction: float = 0.1,
         exploration_initial_eps: float = 1.0,
         exploration_final_eps: float = 0.05,
+        optimize_memory_usage: bool = False,  # Note: unused but to match SB3 API
         # max_grad_norm: float = 10,
         train_freq: Union[int, Tuple[int, str]] = 4,
         gradient_steps: int = 1,
diff --git a/sbx/dqn/policies.py b/sbx/dqn/policies.py
index b9226ee..d8b19ba 100644
--- a/sbx/dqn/policies.py
+++ b/sbx/dqn/policies.py
@@ -28,6 +28,32 @@ def __call__(self, x: jnp.ndarray) -> jnp.ndarray:
         return x
 
 
+# Add CNN policy from DQN paper
+class NatureCNN(nn.Module):
+    n_actions: int
+    n_units: int = 512
+    activation_fn: Callable[[jnp.ndarray], jnp.ndarray] = nn.relu
+
+    @nn.compact
+    def __call__(self, x: jnp.ndarray) -> jnp.ndarray:
+        # Convert from channel-first (PyTorch) to channel-last (Jax)
+        x = jnp.transpose(x, (0, 2, 3, 1))
+        # Convert to float and normalize the image
+        x = x.astype(jnp.float32) / 255.0
+        x = nn.Conv(32, kernel_size=(8, 8), strides=(4, 4), padding="VALID")(x)
+        x = self.activation_fn(x)
+        x = nn.Conv(64, kernel_size=(4, 4), strides=(2, 2), padding="VALID")(x)
+        x = self.activation_fn(x)
+        x = nn.Conv(64, kernel_size=(3, 3), strides=(1, 1), padding="VALID")(x)
+        x = self.activation_fn(x)
+        # Flatten
+        x = x.reshape((x.shape[0], -1))
+        x = nn.Dense(self.n_units)(x)
+        x = self.activation_fn(x)
+        x = nn.Dense(self.n_actions)(x)
+        return x
+
+
 class DQNPolicy(BaseJaxPolicy):
     action_space: spaces.Discrete  # type: ignore[assignment]
 
@@ -65,7 +91,7 @@ def build(self, key: jax.Array, lr_schedule: Schedule) -> jax.Array:
 
         obs = jnp.array([self.observation_space.sample()])
 
-        self.qf = QNetwork(
+        self.qf: nn.Module = QNetwork(
             n_actions=int(self.action_space.n),
             n_units=self.n_units,
             activation_fn=self.activation_fn,
@@ -97,3 +123,29 @@ def select_action(qf_state, observations):
 
     def _predict(self, observation: np.ndarray, deterministic: bool = True) -> np.ndarray:  # type: ignore[override]
         return DQNPolicy.select_action(self.qf_state, observation)
+
+
+class CNNPolicy(DQNPolicy):
+    def build(self, key: jax.Array, lr_schedule: Schedule) -> jax.Array:
+        key, qf_key = jax.random.split(key, 2)
+
+        obs = jnp.array([self.observation_space.sample()])
+
+        self.qf = NatureCNN(
+            n_actions=int(self.action_space.n),
+            n_units=self.n_units,
+            activation_fn=self.activation_fn,
+        )
+
+        self.qf_state = RLTrainState.create(
+            apply_fn=self.qf.apply,
+            params=self.qf.init({"params": qf_key}, obs),
+            target_params=self.qf.init({"params": qf_key}, obs),
+            tx=self.optimizer_class(
+                learning_rate=lr_schedule(1),  # type: ignore[call-arg]
+                **self.optimizer_kwargs,
+            ),
+        )
+        self.qf.apply = jax.jit(self.qf.apply)  # type: ignore[method-assign]
+
+        return key
diff --git a/sbx/version.txt b/sbx/version.txt
index 04a373e..c5523bd 100644
--- a/sbx/version.txt
+++ b/sbx/version.txt
@@ -1 +1 @@
-0.16.0
+0.17.0
diff --git a/setup.py b/setup.py
index 3540c3b..96c390f 100644
--- a/setup.py
+++ b/setup.py
@@ -27,7 +27,7 @@
 ## Example
 
 ```python
-from sbx import DDPG, DQN, PPO, SAC, TD3, TQC, DroQ, CrossQ
+from sbx import DDPG, DQN, PPO, SAC, TD3, TQC, CrossQ
 
 model = TQC("MlpPolicy", "Pendulum-v1", verbose=1)
 model.learn(total_timesteps=10_000, progress_bar=True)
@@ -40,7 +40,7 @@
     packages=[package for package in find_packages() if package.startswith("sbx")],
     package_data={"sbx": ["py.typed", "version.txt"]},
     install_requires=[
-        "stable_baselines3>=2.3.0",
+        "stable_baselines3>=2.4.0a4,<3.0",
         "jax",
         "jaxlib",
         "flax",
diff --git a/tests/test_cnn.py b/tests/test_cnn.py
new file mode 100644
index 0000000..78b209b
--- /dev/null
+++ b/tests/test_cnn.py
@@ -0,0 +1,44 @@
+import numpy as np
+import pytest
+from stable_baselines3.common.envs import FakeImageEnv
+
+from sbx import DQN
+
+
+@pytest.mark.parametrize("model_class", [DQN])
+def test_cnn(tmp_path, model_class):
+    SAVE_NAME = "cnn_model.zip"
+    # Fake grayscale with frameskip
+    # Atari after preprocessing: 84x84x1, here we are using lower resolution
+    # to check that the network handle it automatically
+    env = FakeImageEnv(screen_height=40, screen_width=40, n_channels=1)
+    model = model_class(
+        "CnnPolicy",
+        env,
+        buffer_size=250,
+        policy_kwargs=dict(net_arch=[64]),
+        learning_starts=100,
+        verbose=1,
+    )
+    model.learn(total_timesteps=250)
+
+    obs, _ = env.reset()
+
+    # Test stochastic predict with channel last input
+    if model_class == DQN:
+        model.exploration_rate = 0.9
+
+    for _ in range(10):
+        model.predict(obs, deterministic=False)
+
+    action, _ = model.predict(obs, deterministic=True)
+
+    model.save(tmp_path / SAVE_NAME)
+    del model
+
+    model = model_class.load(tmp_path / SAVE_NAME)
+
+    # Check that the prediction is the same
+    assert np.allclose(action, model.predict(obs, deterministic=True)[0])
+
+    (tmp_path / SAVE_NAME).unlink()