I'm new to Pardot and recently went through training with an implementation partner. I wasn't aware of what Brian said above, but here's some intel that might be useful if setting up Connected Campaigns isn't what you want to do (we didn't).

When we set up the connection between Pardot and Salesforce, Salesforce Campaigns automatically populated and were visible in Pardot under Marketing -> Campaigns -> Salesforce Campaigns (at the bottom of the page below Pardot Campaigns). Pardot Prospects that have not yet been assigned to a user and, therefore, have not yet been pushed to Salesforce can only be associated with a Pardot Campaign. They don't yet exist in Salesforce, so they can't be associated with a Salesforce Campaign. Once Contacts exist in Salesforce though, you can mass assign them to a Salesforce Campaign. Within a couple of minutes (because of the connection between Pardot and Salesforce), the count of Prospects auto-updates in Pardot and is visible under Marketing -> Campaigns -> Salesforce Campaigns. The count of prospects you see in Pardot for Salesforce Campaigns may or may not match the count of Campaign Members listed in Salesforce on the campaign. The count can be off because a Salesforce Contact(s) has not been pushed to Pardot yet. Because of that scenario (and potentially others), some Pardot clients opt to utilize primarily Lists instead of Campaigns (Pardot or Salesforce Campaigns) to send marketing materials out of Pardot. You can, though, send an email blast from Pardot using a Salesforce Campaign. We haven't tried that yet, so I can't comment about how exactly that works. I attached a screenshot of what Salesforce Campaigns look like in Pardot.