Despite the title, the complete lack of tentacles, and being painted decades before Lovecraft's birth, I think there's a hint of the Lovecraftian here, in the illustration of the futility of man in the face of the uncaring universe, even with the benefit of our feeble science, represented here by the telescope. This is not a celebration of the heroism of those who risk their lives in exploration, but a scene of horror at their failure.
The painting depicts the aftermath of John Franklin's last expedition to the Arctic, which led to the deaths of the entire complement of 129. Obviously, "At the Mountains of Madness" also deals with a failed polar expedition, and to make an extremely tenuous connection, the fictional expedition passes Franklin Island, named after John Franklin.
To get even more tenuous, the story also mentions Mount Erebus and Mount Terror, two volcanoes in Antarctica. The mountains are named after the ships used by James Ross in his polar expeditions, and later used by the doomed Franklin expedition. The remains of HMS Erebus have recently been found.
The painting now hangs in a university hall in London, where (on test days) it is covered by the Union Jack to avoid spooking the students.
Recent graduate Michaela Jones was told that a student during an exam had stared directly into one of the polar bears' eyes. Trance-like, the student had then gone "mad" and killed herself - although not before etching the words "The polar bears made me do it" onto her exam paper.