It is not possible to directly connect the points from the scatter plot. But the same effect can be achieved by plotting the lines behind the scattering points.
import numpy as np
import matplotlib.pyplot as plt
x = np.linspace(-3,6)
y = np.sin(x)
z = 0.5+np.random.rand(len(x))
fig, ax = plt.subplots()
ax.plot(x, y, color="k", marker=None, zorder=0)
sc = ax.scatter(x, y, c=z, s=100, edgecolor='',zorder=3)
plt.colorbar(sc, label="Density")
plt.show()

source
share