In Ordinary Form, Keldeo resembles a foal or small unicorn referring to the horn on its head. It is mainly pale in color with light blue fur covering its neck and the back of its head. Its tail is also light blue in color. It has long, dark blue eyebrows and a red mane. On the ends of its legs are dark blue hooves.
In Resolute Form, Keldeo's dark blue eyebrows turn into smaller light blue eyebrows, and his horn is now bigger and dark blue. On his mane he now has three feathers, matching the colors for the others in the trio, green, orange, and blue.
Long ago, a fire started in the Moor of Icirrus because of a war among people. In this fire Keldeo was separated from its parents, but together Cobalion, Terrakion and Virizion took care of it. They acted as its parents and taught it knowledge and moves for survival. Keldeo eventually grew and even surpassed the three Pokémon. One day, Keldeo took off from the forest with no one knowing why.
Keldeo made its debut in the fifteenth Pokémon movie Kyurem VS. The Sword of Justice, being one of its stars along with Swords of Justice Cobalion, Terrakion, Virizion and Kyurem. In the film, it was training to learn how to use Sacred Sword so it could become one of the Swords of Justice, but arrogantly picked a fight with Kyurem before it had learned the move. Keldeo becomes terrified and flees during the middle of the fight, but is pursued relentlessly by Kyurem, who is determined to finish their battle. Along with the other legendary Pokémon present in the movie, Keldeo can speak through telepathy.
Keldeo is based on a Kelpie, a supernatural water horse that appeared as a lost pony, that dragged people to their deaths by drowning them.
Keldeo may also be based on D'Artagnan from The Three Musketeers, as Keldeo is part of the Muskedeer quartet. Just like D'Artagnan from the book, Keldeo is similar to the youngest of the quartet.