E Maj--A Maj.--D Maj. 

I am playing a typical 12 bar blues, almost shuffle like progression. I think that E min. pentatonic sounds right but I am not sure it is technically correct since they are all major chords. I don't usually associate blues with being major. I would assume it is E Maj. but I am not sure the E Major scale sound right over this. Maybe I just don't know, what I don't know.

Thanks!