Your exported image from Illustrator appears pixelated in Photoshop because your photoshop document size and/or resolution is larger than the artboard size in Illustrator. When creating your artwork in Illustrator, set up your new document to have the same width and height in pixels as your photoshop document. To export your artwork from Illustrator to Photoshop in high quality, make sure your artboard is the same size or larger than the document in photoshop in pixels. Go to File>Document setup>Edit artboards in Illustrator to check and change your artboard size. When exporting to Photoshop, go to File>Export>Export for screens. Exporting your file as PNG will give you cleaner crisp lines as opposed to exporting as a Jpeg. Make sure the scale is set to 1x and then Export. Your artwork should occupy as much of the artboard before export for the highest quality result. This maximizes the number of pixels the resulting image will contain. A simple way to export vector artwork from Illustrator to Photoshop is by selecting the objects in Illustrator using the selection tool (v), copying (Ctrl+c/Cmd+c), and pasting in the Photoshop window (Ctrl+v/Cmd+v).