Not only movies, they also work with PS1 Classics.
Here's Vagrant Story through composite on my PSP-2000:

If you want composite for regular PSP games (at least on 2000 models, not sure about 3000), the only solution is a FuSa SD plugin for custom firmwares. But the plugin is old, not many games support it, and those that do are buggy. Not recommended. Just get component cables and save yourself the hassle.