Here is a discussion about difficulty of campaigns:
You should try the scenarios for yourself to experience whether these suit you. I like scenarios, because they offer varied gameplay and situations. It is enjoyable to build myself up vs AI enemies and then have mighty battles with them. I don’t play multiplayer myself, but multiplayer seems much more stressful and competition-oriented, while scenarios are more about immersion into history and destroying big AI cities. Each scenario starts from very different situation, so there is much less “meta” and more improvising.