Emotion recognition has a wide range of potential applications in the real world. Among the emotion recognition data sources, electroencephalography (EEG) signals can record the neural activities across the human brain, providing us a reliable way to recognize the emotional states. Most of existing EEG-based emotion recognition studies directly concatenated features extracted from all EEG frequency bands for emotion classification. This way assumes that all frequency bands share the same importance by default; however, it cannot always obtain the optimal performance. In this paper, we present a novel multi-scale frequency bands ensemble learning (MSFBEL) method to perform emotion recognition from EEG signals. Concretely, we first re-organize all frequency bands into several local scales and one global scale. Then we train a base classifier on each scale. Finally we fuse the results of all scales by designing an adaptive weight learning method which automatically assigns larger weights to more important scales to further improve the performance. The proposed method is validated on two public data sets. For the “SEED IV” data set, MSFBEL achieves average accuracies of 82.75%, 87.87%, and 78.27% on the three sessions under the within-session experimental paradigm. For the “DEAP” data set, it obtains average accuracy of 74.22% for four-category classification under 5-fold cross validation. The experimental results demonstrate that the scale of frequency bands influences the emotion recognition rate, while the global scale that directly concatenating all frequency bands cannot always guarantee to obtain the best emotion recognition performance. Different scales provide complementary information to each other, and the proposed adaptive weight learning method can effectively fuse them to further enhance the performance.