LLM-based multimodal emotion recognition relies on static parametric memory and often hallucinates when interpreting nuanced affective states. In this paper, given that single-round retrieval-augmented generation is highly susceptible to modal ambiguity and therefore struggles to capture complex affective dependencies across modalities, we introduce AffectAgent, an affect-oriented multi-agent retrieval-augmented generation framework that leverages collaborative decision-making among agents for fine-grained affective understanding. Specifically, AffectAgent comprises three jointly optimized specialized agents, namely a query planner, an evidence filter, and an emotion generator, which collaboratively perform analytical reasoning to retrieve cross-modal samples, assess evidence, and generate predictions. These agents are optimized end-to-end using Multi-Agent Proximal Policy Optimization (MAPPO) with a shared affective reward to ensure consistent emotion understanding. Furthermore, we introduce Modality-Balancing Mixture of Experts (MB-MoE) and Retrieval-Augmented Adaptive Fusion (RAAF), where MB-MoE dynamically regulates the contributions of different modalities to mitigate representation mismatch caused by cross-modal heterogeneity, while RAAF enhances semantic completion under missing-modality conditions by incorporating retrieved audiovisual embeddings. Extensive experiments on MER-UniBench demonstrate that AffectAgent achieves superior performance across complex scenarios. Our code will be released at: https://github.com/Wz1h1NG/AffectAgent.