Art is expression and psychology is the study of that which is being expressed and the reasons/details of its expression.
ETA
I think the connections are many. Art can be about expression, about creation, about casting oneself, about touching for the personal/the intimate/the woven or intricately woven. It is about being and becoming. It can be about transferance and transformation, about engagement, about catharsis... The connection between any of these and psychology is that psychology encapsulates these. It is the study of being, and art is very much the experience of being - whether that's its expression, understanding, or the search for.
I think art is the expressed essence of being.
In a sense, it is coming to terms with one's being. Psychology also does this but in different ways.