The classification recognition rate of motor imagery is a key factor to improve the performance of brain–computer interface (BCI). Thus, we propose a feature extraction method based on discrete wavelet transform (DWT), empirical mode decomposition (EMD), and approximate entropy. Firstly, the electroencephalogram (EEG) signal is decomposed into a series of narrow band signals with DWT, then the sub-band signal is decomposed with EMD to get a set of stationary time series, which are called intrinsic mode functions (IMFs). Secondly, the appropriate IMFs for signal reconstruction are selected. Thus, the approximate entropy of the reconstructed signal can be obtained as the corresponding feature vector. Finally, support vector machine (SVM) is used to perform the classification. The proposed method solves the problem of wide frequency band coverage during EMD and further improves the classification accuracy of EEG signal motion imaging.