Background: Clinical diagnoses are typically made by following a series of steps recommended by guidelines that are authored by colleges of experts. Accordingly, guidelines play a crucial role in rationalizing clinical decisions. However, they suffer from limitations, as they are designed to cover the majority of the population and often fail to account for patients with uncommon conditions. Moreover, their updates are long and expensive, making them unsuitable for emerging diseases and new medical practices. Methods: Inspired by guidelines, we formulate the task of diagnosis as a sequential decision-making problem and study the use of Deep Reinforcement Learning (DRL) algorithms to learn the optimal sequence of actions to perform in order to obtain a correct diagnosis from Electronic Health Records (EHRs), which we name a diagnostic decision pathway. We apply DRL to synthetic yet realistic EHRs and develop two clinical use cases: Anemia diagnosis, where the decision pathways follow a decision tree schema, and Systemic Lupus Erythematosus (SLE) diagnosis, which follows a weighted criteria score. We particularly evaluate the robustness of our approaches to noise and missing data, as these frequently occur in EHRs. Results: In both use cases, even with imperfect data, our best DRL algorithms exhibit competitive performance compared to traditional classifiers, with the added advantage of progressively generating a pathway to the suggested diagnosis, which can both guide and explain the decision-making process. Conclusion: DRL offers the opportunity to learn personalized decision pathways for diagnosis. Our two use cases illustrate the advantages of this approach: they generate step-by-step pathways that are explainable, and their performance is competitive when compared to state-of-the-art methods.