Some from the first 15 Psalms.
Psalm 1:1 begins 'blessed', as does the final line of the next psalm (2:12).
2:6 + 3:4 'holy hill'
3:2 + 4:6 'many are saying'
4:2 + 5:6 'falsehood' (כָּזָב)
5:7 + 6:4 'your steadfast love'
6:1 + 7:6 'in your anger' (& loads more between Psalms 6 & 7)
7:5 + 8:2 share the common word 'enemy' (אוֹיֵב), while 6:7; 7:4, 6; 8:2 share the less common word 'foe' (root צרר)
Psalms 9-10 are sometimes considered a single Psalm. They share a rough alphabetic structure + Ps. 10 has no separate heading
The theme of the 'wicked' runs through both, but they also share 'in times of trouble' (9:9; 10:1).
11:4 + 12:1, 8 'children of man'
12:5 + 13:2 'I will place' (13:2: lit. 'I will place counsels in my soul')
13:5 'shall rejoice' = 14:7 'let him rejoice' (יָגֵל)
14:1 + 15:2 'in his heart' & contrast of 'evildoers' (14:4) & those who do no evil (15:3)
Psalms are not randomly arranged.
I've only scratched the surface. There are many connections I haven't listed.
I hope these encourage others to dig deeper.