In wireless sensor networks (WSNs), each sensor node can estimate the global parameter from the local data in distributed manner. This paper proposed a robust diffusion estimation algorithm based on minimum error entropy criterion with self-adjusting step-size, which are referred to as diffusion MEE-SAS (DMEE-SAS) algorithm. The DMEE-SAS algorithm has fast speed of convergence and is robust against non-Gaussian noise in the measurements. The detailed performance analysis of the DMEE-SAS algorithm is performed. By combining the DMEE-SAS with diffusion minimum error entropy (DMEE) algorithms, an Improving DMEE-SAS algorithm is proposed, in non-stationary environment where tracking is very important. The Improving DMEE-SAS algorithm can avoid insensitivity of the DMEE-SAS algorithm due to the small effective step-size near the optimal estimator, and obtain a fast convergence speed. Numerical simulations are given to verify the effectiveness and advantages of these proposed algorithms.