The calendar should look like this when opened in SharePoint. To connect it to your Outlook, click on the "Calendar" tab, then select "Connect to Outlook". Click "Yes" on the pop-up window and you should be good to go! The calendar should populate either under "My Calendars" or "Other Calendars".
(If you get another pop-up window before the one shown in the last screenshot, check the box to "always allow", then "Open Outlook") 

**Please note that this only works with the old Outlook. Calendar will not appear in New Outlook, Outlook Web, or users on Mac. Those users will need to access the calendar via SharePoint** 

(there is an entire forum of complaints from users on this and Microsoft still has yet to provide a solution)