Odor and memory are connected because of your anatomy - specifically, your brain.
The primary olfactory cortex, (part of the brain having to do with smell) receives information about smells from nerves in the nose. It links directly to the amygdala ** and the hippocampus*** .
** amygdala - (almond-shaped groups of nuclei located deep within the medial temporal lobes of the brain - controls expression and experience of emotion)
*** hippocampus - (a major component of the brains of humans and other vertebrates. It belongs to the limbic system and and controls the consolidation of memories)