They're not running at the same clock speed. According to Wikipedia, PS2's CPU is clocked at 294 MHz (299 MHz on newer versions) while PSP's CPU is clocked at 333MHz.

Even though PSP has a faster CPU, Sony decided to cap the CPU to just 222 MHz (probably to extend the battery life) and only lifted the limit to 333 MHz on firmware 3.50. Because of this, most of the games on PSP is running at just 222 MHz.

AFAIK, only 2 games are using full 333 MHz CPU speed on PSP, Syphon Filter: Logan's Shadow and also God of War: Chains of Olympus.