The previous answer is correct. However, sometimes there are things that are working in numpy and it is not working in mpmath (at least it is done in a different way). Hence, the original (general) question of
"...is there any way to convert a numpy array to an mpmath matrix, so I can keep the precision?.."
In my experience, this (more general) question still needs to have a general answer. One of the answers to this problem is to convert the numpy array first to list then List to mpmath matrix.
Here is a simple example that works for me (warning, may not be efficient):
import mpmath as mp, numpy as np
N = 5
L = np.ones(N)
M = np.diag(L, 2) # A numpy matrix 7x7
# Notes that MPMath "diag" function is limited to one parameter only
M = mp.matrix(M.tolist())
print(type(M),'\n', M)