I was looking for a way to record an epsxe session, too, and then came across this thread. I tried various different programs before following migatxu's suggestion. I quote:
After examining a manual for said program, I encountered one option that will enable recordmydesktop to encode video from any window containing 3D [--full-shots]. (If such option is not specified prior to the recording, any 3D window will not be captured properly, or captured at all.) (Source: http://recordmydesktop.sourceforge.net/manpage.php)
Well... I've recorded Pocket Fighter on epsxe with recordMyDesktop [without problems]. [...] Look out the [options] in recordMyDesktop, there is something for 3D Maybe... I don't know... Get lucky!
This option is enabled as an extra parameter after issuing the main command (which, in this case, is "recordmydesktop") in a command line, as follows:
On inputting this command, recordmydesktop should start capturing your whole desktop session.* To stop the capture, hit Ctrl-C at any time, and wait until the program has finished encoding your session (a percentual indicator will keep you informed of the advance). When the encoding process is finished, the program will shut itself down. By default, the final product of this encoding will be a video file named "out.ogg" which will be located in your user folder, although, as the man page linked above shows, these are modifiable variables.
*Some people experience a problem with their sound devices while using recordmydesktop, which forces them to record using the "--no-sound" option (as is my case right now), although there are various fixes available in other threads for this situation. (I haven't begun searching for a fix that works, yet, but from what I've seen so far, this calamity is easily solved.)