There are various kinds of brain monitoring techniques, including local field potential, near-infrared spectroscopy, magnetic resonance imaging (MRI), positron emission tomography, functional MRI, electroencephalography (EEG), and magnetoencephalography. Among those techniques, EEG is the most widely used one due to its portability, low setup cost, and noninvasiveness. Apart from other advantages, EEG signals also help to evaluate the ability of the smelling organ. In such studies, EEG signals, which are recorded during smelling, are analyzed to determine the subject lacks any smelling ability or to measure the response of the brain. The main idea of this study is to show the emotional difference in EEG signals during perception of valerian, lotus flower, cheese, and rosewater odors by the EEG gamma wave. The proposed method was applied to the EEG signals, which were taken from five healthy subjects in the conditions of eyes open and eyes closed at the Swiss Federal Institute of Technology. In order to represent the signals, we extracted features from the gamma band of the EEG trials by continuous wavelet transform with the selection of Morlet as a wavelet function. Then the -nearest neighbor algorithm was implemented as the classifier for recognizing the EEG trials as valerian, lotus flower, cheese, and rosewater. We achieved an average classification accuracy rate of 87.50% with the 4.3 standard deviation value for the subjects in eyes-open condition and an average classification accuracy rate of 94.12% with the 2.9 standard deviation value for the subjects in eyes-closed condition. The results prove that the proposed continuous wavelet transform-based feature extraction method has great potential to classify the EEG signals recorded during smelling of the present odors. It has been also established that gamma-band activity of the brain is highly associated with olfaction.