In this paper, we present a novel MI classification method based on multi-band convolutional neural network (CNN) with band-dependent kernel sizes, named MBK-CNN, to improve classification performance, by resolving the subject dependency issue of the widely used CNN-based approaches due to the kernel size optimization problem. The proposed structure exploits the frequency diversity of the EEG signals and simultaneously resolves the subject dependent kernel size issue. EEG signal is decomposed into overlapping multi-band and passed through multiple CNNs (termed 'branch-CNNs') with different kernel sizes to generate frequency dependent features, which are combined by a simple weighted sum. In contrast to the existing works where single-band multi-branch CNNs with different kernel sizes are used to resolve the subject dependency issue, a unique kernel size per frequency band is used. To prevent possible overfitting induced by a weighted sum, each branch-CNN is additionally trained by tentative cross entropy loss while overall network is optimized by the end-to-end cross entropy loss, which is named amalgamated cross entropy loss. In addition, we further propose multi-band CNN with enhanced spatial diversity, named MBK-LR-CNN, by replacing each branch-CNN with several sub branch-CNNs applied for channel subsets (termed 'local region') to improve the classification performance. We evaluated the performance of the proposed methods, MBK-CNN and MBK-LR-CNN, on publicly available datasets, BCI Competition IV dataset 2a and High Gamma Dataset. The experimental results confirm the performance improvement of the proposed methods compared to the currently existing MI classification methods.