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This is a bug in mlab. PR #3467 should fix it for you.
In the meantime, you can make this work by flattening your input to psd, e.g. psd(x.flatten())
For your example:
import numpy as np
import matplotlib.pyplot as plt
data = np.arange(1000)
a = np.empty((1000, 2))
b = np.empty((2, 1000))
plt.figure()
a[:, 0] = data
plt.psd(a[:, 0].flatten())
b[0, :] = data
plt.psd(b[0, :].flatten())
plt.show()
Check this issue by the following code.
The lines in the plot should be the same.
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