Brain-computer interface provides a new communication bridge between the human mind and devices, depending largely on the accurate classification and identification of non-invasive EEG signals. Recently, the deep learning approaches have been widely used in many fields to extract features and classify various types of data successfully. However, the deep learning approach requires massive data to train its neural networks, and the amount of data impacts greatly on the quality of the classifiers. This paper proposes a novel approach that combines deep learning and data augmentation for EEG classification. We applied the empirical mode decomposition on the EEG frames and mixed their intrinsic mode functions to create new artificial EEG frames, followed by transforming all EEG data into tensors as inputs of the neural network by complex Morlet wavelets. We proposed two neural networks-convolutional neural network and wavelet neural network-to train the weights and classify two classes of motor imagery signals. The wavelet neural network is a new type of neural network using wavelets to replace the convolutional layers. The experimental results show that the artificial EEG frames substantially improve the training of neural networks, and both two networks yield relatively higher classification accuracies compared to prevailing approaches. Meanwhile, we also verified the performance of our new proposed wavelet neural network model in the classification of steady-state visual evoked potentials.