Do you have all the Necessary Libraries and Dependencies installed. Last I heard the new pSX for Linux requires some version of GTK, and some other Libraries/Dependencies.
If you don't have those installed pSX, just as epsxe will fail to start when doubleclicked or accessed through the terminal.
I don't know exactly what Libraries/Dependencies pSX needs in order to work, but I'm sure if the have a forum it's answered there or on their webpage. If it's not you may need to drop pSXAuthor a PM, or wait for another member to answer/reply that may know
