Is it hard to find a job with game art major?

Yeah, it's pretty tough. I've submitted my portfolio many times and gotten shut down (by blizzard mostly since they're close by).
I got lucky to be honest, my college was holding a "meet and greet" for game designers to come and talk to the students that wished to show up. I managed to find out they where hiring programer interns however I asked if I could get in as an art intern by talking to the president of vexigon whom had come, and in a few weeks I was in for an interview.
They're on the ground floor for the most part, small place with 8 other guys and myself now.

If I had any advice it would be 1) Find a company thats starting up, the long established ones are MUCH harder to get into since most require lots of experience.
2) Every place is going to say it wants you to have experience, however you can't get it without getting into a position in which case you need to have it. That said submit your stuff anyways, and constantly, if you show them you want the job enough they may just look at you (blizzard contacted me a few times, most of the time they shrugged me off, but that at leats showed I was making some progress).
3) Network, network, network. I can't say how important this is, if you have proffessors at your college, a friend in the industry, etc. Find some way to get connections (siggraph conventions, though expensive, is a great way to meet people in the industry).

Hope that answers any questions

Yeah I've been thinking about what major to go into. I really want to go into character design and game art seems to fit it. Your answer helped alot. You answered more than one question that people didn't understand so I feel good about it now.