Also the "blues" scale is the pentatonic minor scale, not the pentatonic Major scale. The relative pentatonic minor scale to the key you are playing is an interval of a Major 6th above the root note of the key.

Using the same E Major blues chord progression example:
E (root)
F# (Major 2nd)
G# (Major 3rd)
A (Perfect 4th)
B (Perfect 5th)
C# (Major 6th)
D# (Major 7th)

So... if you play a standard pentatonic minor box shape starting on the 9th fret of the bottom-E string.. you will be playing C# pentatonic minor scale. This is the one you will want to fiddle around with while the key is E Major.

Here's the standard box shape if you didn't already know. As there are only 5 notes, there are only numbers 1 to 5.. then it repeats.

e|--1--|-----|-----|--2--|
b|--4--|-----|-----|--5--|
g|--2--|-----|--3--|-----|
d|--5--|-----|--1--|-----|
a|--3--|-----|--4--|-----|
e|--1--|-----|-----|--2--|