A key element of AutoML systems is setting the types of models that will be used for each type of task. For classification and regression problems with tabular data, the use of tree ensemble models (like XGBoost) is usually recommended. However, several deep learning models for tabular data have recently been proposed, claiming to outperform XGBoost for some use-cases. In this paper, we explore whether these deep models should be a recommended option for tabular data, by rigorously comparing the new deep models to XGBoost on a variety of datasets. In addition to systematically comparing their accuracy, we consider the tuning and computation they require. Our study shows that XGBoost outperforms these deep models across the datasets, including datasets used in the papers that proposed the deep models. We also demonstrate that XGBoost requires much less tuning. On the positive side, we show that an ensemble of the deep models and XGBoost performs better on these datasets than XGBoost alone.