Medical image fusion technique plays an an increasingly critical role in many clinical applications by deriving the complementary information from medical images with different modalities. In this paper, a medical image fusion method based on convolutional neural networks (CNNs) is proposed. In our method, a siamese convolutional network is adopted to generate a weight map which integrates the pixel activity information from two source images. The fusion process is conducted in a multi-scale manner via image pyramids to be more consistent with human visual perception. In addition, a local similarity based strategy is applied to adaptively adjust the fusion mode for the decomposed coefficients. Experimental results demonstrate that the proposed method can achieve promising results in terms of both visual quality and objective assessment.