Some good points to start:
This reference on mips instructions
And if you need more info on the actual processor arcitecture:
R4400 Manual - similar to the Allegrex CPU contained in the PSP
NEC VR5432 Manual - contains Info on the Debug Registers which are appearently also present in the Allegrex Core
(taken straight from the Home of the Hitmen)
For the actual analysis process this tool will most likely become your best friend 