I just answered a similar question about writing multi-frame gifs to psd. See viewtopic.php?f=1&t=12368. As far as I can see you get multi-frame psd, but I am not sure PS will properly interpret it.
As far as JPG, I do not think it supports multi-frames. So if you try for example, using the example I made above, you get
convert tmp3.gif tmp3.jpg
which results in tmp3-0.jpg, tmp3-1.jpg and tmp3-2.jpg
Read:
http://www.imagemagick.org/script/comma ... php#adjoin
So you can do (with jpg as well as png):
convert white.png black.png grad.png -adjoin tmp3.psd
identify tmp3.psd
tmp3.psd[0] PSD 1x100 1x100+0+0 16-bit DirectClass 119kb
tmp3.psd[1] PSD 101x101 101x101+0+0 16-bit DirectClass 119kb
tmp3.psd[2] PSD 100x100 100x100+0+0 16-bit DirectClass 119kb
But again, I don't think PS will interpret it correctly (again as the first layer in PSD is the composite of all the other layers and here the first image becomes the first layer, etc, as far as I can tell. In fact, my old PS CS won't even open the file, but perhaps a newer version will.)
Try these tests yourself and see what happens!