I'll flesh out the consequences of Gerald's comment in a (CW-ed) answer. Lindenstrauss, Olsen, and Sternfeld showed in 1978 that if $S_1$ and $S_2$ are compact metrisable simplices such that the extremal points of $S_i$ are dense in $S_i$ for $i=1,2$, then there is an affine homeomorphism from $S_1$ to $S_2$; the unique (up to affine homeomorphism) compact metrisable simplex with the property that its extremal points are dense is called the Poulsen simplex.

In that same paper, it was shown that the Poulsen simplex has the property that its set of extremal points is arc-connected. Since $\mathcal{M}$ is a compact metrisable simplex whenever $X$ is a compact metric space and $f\colon X\to X$ is continuous, and the extremal points of $\mathcal{M}$ are precisely the ergodic measures $\mathcal{M}^e$, it follows that $\mathcal{M}^e$ is arc-connected whenever it is dense in $\mathcal{M}^e$. In particular, the strong specification property introduced by Bowen implies that periodic orbit measures are dense in $\mathcal{M}^e$ (Sigmund 1974), and since such measures are ergodic, this implies that $\mathcal{M}$ is the Poulsen simplex, and hence $\mathcal{M}^e$ is arc-connected, whenever $(X,f)$ has strong specification.

So that's not quite as constructive a proof as the approach following (Sigmund 1977) as suggested in Andrey's answer and the comment following, but it's certainly simpler to write down based on existing results.