While emulators themselves are completely legal to develop and distribute, the software inside a console's BIOS chip is protected under copyright law.
: Downloading these files from third-party "abandonware" or ROM sites often violates copyright laws. Furthermore, these sites can sometimes bundle malware with the .bin files. How to Use the BIOS in PCSX2 download scph-70004-bios-v12-eur-200.bin
Once you have legally obtained the BIOS files: While emulators themselves are completely legal to develop