A nonlinear method named detrended fluctuation analysis (DFA) was utilized to investigate the scaling behavior of the human electroencephalogram (EEG) in three emotional music conditions (fear, happiness, sadness) and a rest condition (eyes-closed). The results showed that the EEG exhibited scaling behavior in two regions with two scaling exponents β1 and β2 which represented the complexity of higher and lower frequency activity besides β band respectively. As the emotional intensity decreased the value of β1 increased and the value of β2 decreased. The change of β1 was weakly correlated with the approach-withdrawal model of emotion and both of fear and sad music made certain differences compared with the eyes-closed rest condition. The study shows that music is a powerful elicitor of emotion and that using nonlinear method can potentially contribute to the investigation of emotion.