In the above picture, I am a bit confused how it turns out parallel lines seems to meet in the artist's potrait. Could someone explain in simple words why the roads which don't intersect in the ambient world do intersect in the painting?
So far, I get the idea that when drawing the painting , a line is drawn from the artist's eye to the object in 3-D space and the point on the canvas is the intersection of the line with it. However, the converging line thing is still tripping me up.
Edit: For future readers, I found this Deviant Art page by Nisio very helpful. You have to click the picture to zoom, but they go over the details of it. Also check out this video (also helpful).

One place the mathematics is discussed: Points at infinity where last element in homogeneous vector is $0$?.
More geometrically, an artist's field of view may be modeled either by a sphere of rays or by a projective plane of lines through the eye. We may as well pick the unit sphere centered at the origin of Euclidean three-space.
An open hemisphere $H$ of the sphere model corresponds to a dense open set $P$ of the projective plane, and the boundary great circle $C$ of $H$ maps to the line at infinity with respect to $P$ by definition. The golden circle shown lies in the equatorial plane $Z = 0$, and the plane $P$ being visualized is $Z = -1$, which corresponds to the lower hemisphere.
Straight lines in $P$ map to the sphere by radial projection from the eye, so their images are great circles. Since great circles intersect on the sphere, the images of lines in $P$ also intersect, even if the lines are parallel as shown. By definition, parallel lines in $P$ do not intersect in $P$. The points of intersection on the sphere therefore line on the boundary great circle, a.k.a., the line at infinity with respect to $P$.
In Penrose's drawing, the artist's canvas might be the plane $Y = 1$ (not shown here). Projecting the great circles to that plane gives a pair of crossing lines, compare the railroad tracks in the linked question.
Added: The diagram below shows the same picture without the sphere, and with the projective lines shown as affine planes. To emphasize,
The plane $Z = -1$, by contrast, does not pass through the origin.