Mr. Pickle is Harry Hart's deceased Cairn Terrier. He received the dog during his Kingsman training and for his final task he was ordered to kill it. After he shot Mr. Pickle, he learned that the gun fired a blank. Hart then took his dog home and cared for him for the next 11 years until Mr. Pickle died of pancreatitis. After his death, Harry had him stuffed and placed in his bathroom to remind him that "A Kingsman only condones the risking of a life to save another".
After Eggsy took on Harry's old position as Galahad, he kept the bust of Mr. Pickle, presumably as a memento to Harry. The bust was soon destroyed along with the home when Poppy Adams blew it up. When Eggsy, Merlin and Statesman attempted to restore an amnesiac Hart's memories, Eggsy purchased a Cairn Terrier to give to his mentor as a gift, and then immediately threatened to shoot it. This caused Hart to relive his memory of shooting Mr. Pickle, which proved traumatic enough for him to regain his memories.