is there any connection between confident and confidential？

See a translation

Apparently they originated from the same word:
c. 1400, "assurance or belief in the good will, veracity, etc. of another," from Old French confidence or directly from Latin confidentia, from confidentem (nominative confidens) "firmly trusting, bold," present participle of confidere "to have full trust or reliance," from assimilated form of com, here perhaps an intensive prefix (see com-), + fidere "to trust" (from PIE root *bheidh- "to trust, confide, persuade").
https://www.etymonline.com/word/confidence
You can see the jump from "having trust" into "having trust in yourself" (confident) and "entrusted with secrets" (confidential).