PSP Video Formats
MPEG-4 (aka MP4) AVI
Aside from movies and music videos available commercially on UMD, the PSP can also play video files from the Memory Stick. These files must be in MP4 or AVI format. Use a free video file converter if you need to convert a video to a format playable on the PSP. For example, an MKV to MP4 (or AVI) converter is needed to play MKVs on a PSP.
PSP Music Formats
ATRAC MP3 MP4 WAV WMA
Music can be used from UMDs but usually comes in the form of music videos. You can also load your own songs to play on the PSP as long as they’re in one of the formats listed above. Use a free audio file converter if you need a specific music file to be in one of the above PSP formats.
PSP Image Formats
JPEG/JPG TIFF GIF PNG BMP
Anything that comes on a UMD can be played on a PSP, images included. Use a free image file converter to convert pictures to a PSP-compatible format.
PSP Game Formats
UMDDigital downloads
Excluding homebrew games, the PSP only plays games on UMDs and official digital downloads. With the right homebrew, however, the PSP can emulate many different consoles and play their appropriate ROMs.
PSP Firmware Compatibility
Different firmware versions are compatible with different file formats. The more recent the version, the more file formats you can view. Use the linked tutorial linked to find out which version of the firmware you have, then check the firmware profiles to find out more about file compatibility.