Electroencephalography (EEG) signals are prone to contamination by noise, such as ocular and muscle artifacts. Minimizing these artifacts is crucial for EEG-based downstream applications like disease diagnosis and brain-computer interface (BCI). This paper presents a new EEG denoising model, DTP-Net. It is a fully convolutional neural network comprising Densely-connected Temporal Pyramids (DTPs) placed between two learnable time-frequency transformations. In the time-frequency domain, DTPs facilitate efficient propagation of multi-scale features extracted from EEG signals of any length, leading to effective noise reduction. Comprehensive experiments on two public semi-simulated datasets demonstrate that the proposed DTP-Net consistently outperforms existing state-of-the-art methods on metrics including relative root mean square error (RRMSE) and signal-to-noise ratio improvement ( ∆SNR). Moreover, the proposed DTP-Net is applied to a BCI classification task, yielding an improvement of up to 5.55% in accuracy. This confirms the potential of DTP-Net for applications in the fields of EEG-based neuroscience and neuro-engineering. An in-depth analysis further illustrates the representation learning behavior of each module in DTP-Net, demonstrating its robustness and reliability.