From Wikipedia:
The Emancipation Proclamation consists of two executive orders issued by United States President Abraham Lincoln during the American Civil War. The first one, issued September 22, 1862, declared the freedom of all slaves in any state of the Confederate States of America that did not return to Union control by January 1, 1863. The second order, issued January 1, 1863, named the specific states where it applied. The Emancipation Proclamation was attacked at the time as freeing only the slaves over which the Union had no power. This was an exaggeration: the Proclamation went into immediate effect in at least part of every CSA state except Tennessee and Texas, and brought freedom to thousands of slaves the day it went into effect. In addition, it committed the Union to ending slavery, which was a controversial decision even in the North. Lincoln issued the Executive Order by his authority as “Commander in Chief of the Army and Navy” under Article II, section 2 of the United States Constitution. The proclamation did not free any slaves of the border states of Kentucky, Missouri, Maryland, or Delaware. In West Virginia, only the slaves in Jefferson County, which was added to the state late in 1863, were freed under the Proclamation, all the other counties being exempted. The state of Tennessee was also exempted, as were some listed counties of Virginia and parishes of Louisiana already under Federal control.
However, in other Union-occupied areas of CSA states besides Tennessee, the Proclamation went into immediate effect and slaves were freed at once on January 1, 1863. This Union-occupied zone where freedom began at once included “areas in eastern North Carolina, the Mississippi Valley . . . the Tennessee Valley of northern Alabama, the Shenandoah Valley, a large region of Arkansas, and the Sea Islands of Georgia and South Carolina” Although some counties of Union-occupied Virginia were exempted from the Proclamation, “the lower Shenandoah Valley, and the area around Alexandria” were not. Hearing of the Proclamation, more slaves quickly escaped to Union lines as the Army units moved South. As the Union armies conquered the Confederacy, thousands of slaves were freed each day until nearly all (approximately 4 million, according to the 1860 census) were freed by July 1865.
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