Well, the physical connection is the Illinois Central Railroad. And because of that railroad, which has lines going through the heart of the Mississippi Delta, there was an easy way to get to Chicago from the Delta. With agriculture the primary industry in the Delta, when the farms became mechanized people hopped a train to Chicago to find work - by the thousands. And when the work dried up during hard times in Chicago, they came back home to the Delta. There are a lot of families in the Delta with relatives in Chicago, and vice versa.
Chicago Blues started when blues musicians from the Delta went looking for bigger audiences, first in Memphis, and then in Chicago.
http://www.msbluestrail.org/blues-trail-markers/chicago
Remember the song "City of New Orleans"? Folk song by Steve Goodman but popularized by Arlo Guthrie and Willie Nelson about an Illinois Central train?
Good morning America how are you?
Don't you know me I'm your native son,
I'm the train they call The City of New Orleans,
I'll be gone five hundred miles when the day is done.
It runs from New Orleans to Jackson, Memphis, and Chicago. The current route is through the Mississippi Delta (the section between Yazoo City and Memphis) I have ridden the City of New Orleans, to New Orleans, twice. My son lives in Memphis, and I have talked about taking The City of New Orleans to Chicago from Memphis, but haven't yet.