[step:Show each equivalence class is path-connected as a subspace]Fix $x \in X$. We prove that $P_x$, equipped with the [subspace topology](/page/Subspace%20Topology) inherited from $X$, is path-connected.
Let $u,v \in P_x$. Since $u \in P_x$ and $v \in P_x$, we have $x \sim_p u$ and $x \sim_p v$. By symmetry and transitivity of $\sim_p$, it follows that $u \sim_p v$. Therefore there exists a continuous map $\gamma : [0,1] \to X$ such that $\gamma(0)=u$ and $\gamma(1)=v$.
We claim that $\gamma([0,1]) \subset P_x$. Let $t \in [0,1]$. Define
\begin{align*}
\gamma_t : [0,1] &\to X
\end{align*}
\begin{align*}
s &\mapsto \gamma(ts).
\end{align*}
The map $s \mapsto ts$ is continuous from $[0,1]$ to $[0,1]$, and $\gamma$ is continuous, so $\gamma_t$ is continuous as a composition. Also $\gamma_t(0)=\gamma(0)=u$ and $\gamma_t(1)=\gamma(t)$. Hence $u \sim_p \gamma(t)$. Since $x \sim_p u$ and $\sim_p$ is transitive, $x \sim_p \gamma(t)$, so $\gamma(t) \in P_x$. Since $t$ was arbitrary, $\gamma([0,1]) \subset P_x$.
Now regard $\gamma$ as a map
\begin{align*}
\widetilde{\gamma} : [0,1] &\to P_x
\end{align*}
\begin{align*}
t &\mapsto \gamma(t),
\end{align*}
where $P_x$ has the subspace topology. Because $\gamma : [0,1] \to X$ is continuous and its image is contained in $P_x$, the corestriction $\widetilde{\gamma}$ is continuous for the subspace topology. Thus $\widetilde{\gamma}$ is a path in $P_x$ from $u$ to $v$. Since $u,v \in P_x$ were arbitrary, $P_x$ is path-connected.[/step]