The outbreak of COVID-19 has shocked the entire world with its fairly rapid spread and has challenged different sectors. One of the most effective ways to limit its spread is the early and accurate diagnosis of infected patients. Medical imaging such as X-ray and Computed Tomography (CT) combined with the potential of Artificial Intelligence (AI) plays an essential role in supporting the medical staff in the diagnosis process. Thereby, five different deep learning models (ResNet18, ResNet34, InceptionV3, InceptionResNetV2, and DenseNet161) and their Ensemble have been used in this paper, to classify COVID-19, pneumoniae and healthy subjects using Chest X-Ray images. Multi-label classification was performed to predict multiple pathologies for each patient, if present. Foremost, the interpretability of each of the networks was thoroughly studied using techniques like occlusion, saliency, input X gradient, guided backpropagation, integrated gradients, and DeepLIFT. The mean Micro-F1 score of the models for COVID-19 classifications ranges from 0.66 to 0.875, and is 0.89 for the Ensemble of the network models. The qualitative results depicted the ResNets to be the most interpretable models.