Graph convolutional neural networks (GCN) have attracted much attention in the task of electroencephalogram (EEG) emotion recognition. However, most features of current GCNs do not take full advantage of the causal connection between the EEG signals in different frequency bands during the process of constructing the adjacency matrix. Based on the causal connectivity between the EEG channels obtained by Granger causality (GC) analysis, this paper proposes a multi-frequency band EEG graph feature extraction and fusion method for EEG emotion recognition. First, the original GC matrices between the EEG signals at each frequency band are calculated via GC analysis, and then they are adaptively converted to asymmetric binary GC matrices through an optimal threshold. Then, a kind of novel GC-based GCN feature (GC-GCN) is constructed by using differential entropy features and the binary GC matrices as the node values and adjacency matrices, respectively. Finally, on the basis of the GC-GCN features, a new multi-frequency band feature fusion method (GC-F-GCN) is proposed, which integrates the graph information of the EEG signals at different frequency bands for the same node. The experimental results demonstrate that the proposed GC-F-GCN method achieves better recognition performance than the state-of-the-art GCN methods, for which average accuracies of 97.91%, 98.46%, and 98.15% were achieved for the arousal, valence, and arousal–valence classifications, respectively.