Q: What does it mean when the normally yellow light goes red, I thought the power had run out, but it turns out I had the adapted plugged in all the time.
A: Guys, please, answer with a confident answer. I'm guessing you guys don't even have a PSP? Anyways, there is no "yellow" light on the PSP. There is the: Orange light, which is for memory stick indicator. Green light under the memory stick indicator is wifi indicator. There is the power indicator that goes green when on, and orange when charging, and blinking green when running out of battery. Although, there is a yellow indicator, but not a light, that resembles your PSP is in hold. So your answer is: there is no red light.