Emotion classification is a challenge in affective computing, with applications ranging from human–computer interaction to mental health monitoring. In this study, the classification of emotional states using electroencephalography (EEG) data were investigated. Specifically, the efficacy of the combination of various feature selection methods and hyperparameter tuning of machine learning algorithms for accurate and robust emotion recognition was studied. The following feature selection methods were explored: filter (SelectKBest with analysis of variance (ANOVA) F-test), embedded (least absolute shrinkage and selection operator (LASSO) tuned using Bayesian optimization (BO)), and wrapper (genetic algorithm (GA)) methods. We also executed hyperparameter tuning of machine learning algorithms using BO. The performance of each method was assessed. Two different EEG datasets, EEG Emotion and DEAP Dataset, containing 2548 and 160 features, respectively, were evaluated using random forest (RF), logistic regression, XGBoost, and support vector machine (SVM). For both datasets, the experimented three feature selection methods consistently improved the accuracy of the models. For EEG Emotion dataset, RF with LASSO achieved the best result among all the experimented methods increasing the accuracy from 98.78% to 99.39%. In the DEAP dataset experiment, XGBoost with GA showed the best result, increasing the accuracy by 1.59% and 2.84% for valence and arousal. We also show that these results are superior to those by the previous other methods in the literature.