Emotion classification and recognition is a crucial area in emotional computing. Physiological signals, such as electroencephalogram (EEG), provide an accurate reflection of emotions and are difficult to disguise. However, emotion recognition still faces challenges in single-modal signal feature extraction and multi-modal signal integration. This study collected EEG, electromyogram (EMG), and electrodermal activity (EDA) signals from participants under three emotional states: happiness, sadness, and fear. A feature-weighted fusion method was applied for integrating the signals, and both support vector machine (SVM) and extreme learning machine (ELM) were used for classification. The results showed that the classification accuracy was highest when the fusion weights were set to EEG 0.7, EMG 0.15, and EDA 0.15, achieving accuracy rates of 80.19% and 82.48% for SVM and ELM, respectively. These rates represented an improvement of 5.81% and 2.95% compared to using EEG alone. This study offers methodological support for emotion classification and recognition using multi-modal physiological signals.