It does fall into the EU and is canon. However, there are several conflicts with other sources and some of the feats achieved by characters seem fantastic, even by Jedi standards. Perhaps the most common way to look at the series is that the events depicted are canon (the Battle of Muunilist, the capture of Palpatine by Grevious, etc.) and actually happened in the Star Wars universe. The way these events played out on screen are probably over the top and weren't quite as spectacular "in real life". For example, Mace probably didn't singlehandedly destroy thousands of battle droids on Dantooine and jump several miles, etc. Perhaps what we see is the stories as told by locals or in reports that embellish the truth.
But the simple answer is yes, the Clone Wars is canon.