In this paper, we propose a dense multi-scale adaptive graph convolutional network (DMA-GCN) method for automatic segmentation of the knee joint cartilage from MR images. Under the multi-atlas setting, the suggested approach exhibits several novelties, as described in the following. First, our models integrate both local-level and global-level learning simultaneously. The local learning task aggregates spatial contextual information from aligned spatial neighborhoods of nodes, at multiple scales, while global learning explores pairwise affinities between nodes, located globally at different positions in the image. We propose two different structures of building models, whereby the local and global convolutional units are combined by following an alternating or a sequential manner. Secondly, based on the previous models, we develop the DMA-GCN network, by utilizing a densely connected architecture with residual skip connections. This is a deeper GCN structure, expanded over different block layers, thus being capable of providing more expressive node feature representations. Third, all units pertaining to the overall network are equipped with their individual adaptive graph learning mechanism, which allows the graph structures to be automatically learned during training. The proposed cartilage segmentation method is evaluated on the entire publicly available Osteoarthritis Initiative (OAI) cohort. To this end, we have devised a thorough experimental setup, with the goal of investigating the effect of several factors of our approach on the classification rates. Furthermore, we present exhaustive comparative results, considering traditional existing methods, six deep learning segmentation methods, and seven graph-based convolution methods, including the currently most representative models from this field. The obtained results demonstrate that the DMA-GCN outperforms all competing methods across all evaluation measures, providing DSC=95.71% and DSC=94.02% for the segmentation of femoral and tibial cartilage, respectively.