PHP provides built-in connectivity to many databases like MySQL, PostgreSQL, Oracle and more. To connect to a database in PHP, a connection is created using mysql_connect or mysql_pconnect, which may create a persistent connection. The high-level process involves connecting to the database, selecting a database, performing a SQL query, processing the results, and closing the connection. Key functions include mysql_query() to submit queries, mysql_fetch_array() to retrieve rows from the results, and mysql_close() to terminate the connection.