Silly question but are you sure you have an alpha channel on the PSD file? I am not a PSD pro but i usually make 2 layers in my photoshop file. Bottom layer is transparent and top layer is my graphic.
Also, lets say that you have a graphic over transparent, you can save it as a PNG copy and it will be a much smaller file size.
I just imported several high resolution photos from photoshop using that same method and it worked pretty well
As long as you have the checkered background behind your object – it should be transparent in AE
