"curved like a circle or sphere when viewed from outside," 1570s, from Middle French convexe, from Latin convexus "vaulted, arched," past participle of convehere "to bring together," from assimilated form of com "with, together," or "thoroughly" (see com-) + vehere "to bring, carry, convey" (from PIE root *wegh- "to go, move, transport in a vehicle").
Possibly the notion is of vaults "carried together" to meet at the point of a roof. Related: Convexity. Convex lens is from 1822.