Focused on the world-wide issue of improving the accuracy of emotion recognition, this paper proposes an electroencephalogram (EEG) signal feature extraction algorithm based on wavelet packet energy entropy and auto-regressive (AR) model. The auto-regressive process can be approached to EEG signal as much as possible, and provide a wealth of spectral information with few parameters. The wavelet packet entropy reflects the spectral energy distribution of the signal in each frequency band. Combination of them gives a better reflect of the energy characteristics of EEG signals. Feature extraction and fusion are implemented based on kernel principal component analysis. Six emotional states from a public multimodal database for emotion analysis using physiological signals (DEAP) are recognized. The results show that the recognition accuracy of the proposed algorithm is more than 90%, and the highest recognition accuracy is 99.33%. It indicates that this algorithm can extract the feature of EEG emotion well, and it is a kind of effective emotion feature extraction algorithm, providing support to emotion recognition.