At the moment, I don’t think that there is a large demand for psychology majors in the gaming industry. This lack of demand may change, as developers seek to improve game immersion, gameplay mechanics, and understand social interaction between players.
I’ve done some digging to find two people with graduate degrees in psychology who make a living working at video game companies.
Mike Ambinder works as an experimental psychologist at Valve Corporation and has worked on games such as Team Fortress 2, Left 4 Dead, and Portal 2. He holds a B.A. in Computer Science and Psychology from Yale University as well as a PhD in Psychology from University of Illinois at Urbana-Champaign. In his valve profile he describes his job description as “vague, but he thinks it probably has something to do with applying both psychological knowledge and methodologies to game design.” In March 2011, he gave a talk at the Game Developer’s Conference on biofeedback and game design.
Célia Hodent works as a playtest project manager at Ubisoft. She holds a PhD in cognitive psychology from the University of Paris Sorbonne where she studied cognitive development in children. She describes her role as “[helping] production teams to concretely integrate what we know about the brain from cognitive neurosciences into video games”.