There are beautiful filmic depictions of what psychoanalysis is all about.

A psychoanalyst of the American Psychoanalytic Association, Dr. Mark Smaller, has tried to describe it with this short film:
Film Dr. Mark Smaller

The Freud Museum London has published a small series of four short films:

What is Psychoanalysis? Part 1: Is it Weird?
Film Freud Museum London Part 1

What is Psychoanalysis? Part 2: Sexuality
Film Freud Museum London Part 2

What is Psychoanalysis? Part 3: The Oedipus Complex
Film Freud Museum London Part 3

What is Psychoanalysis? Part 4: The Ego, the Id and the Superego>
Film Freud Museum London Part 4

On the website of the International Psychoanalytical Association there is a film embedded, which shows how psychoanalysis works, using examples presented by the internationally recognized psychoanalyst Prof. Dr. Otto F. Kernberg.
Film Prof. Dr. Otto F. Kernberg