Keldeo is prone to rapid mood swings, becoming very sad when criticized and very happy when complimented or seeing Virizion smile. Sometimes, Virizion will make Keldeo sad because she likes the reaction.
Prior to meeting Keldeo, he is described by Virizion as kindhearted and adventurous.
Keldeo was Virizion's friend. He set off to explore the Great Glacier but disappeared. He was taken captive by Munna while Virizion searched for him. Keldeo admits to letting himself get caught by Munna after meeting Kyurem and getting chased. He returned to the Great Glacier to try and convince Kyurem and all of Kyurem's subordinates to change the future, but his reasoning fell on deaf ears. After a while, he sent Virizion a letter saying that he never wanted to go to the Great Glacier and that he had wanted to get away from her. He also said to forget about him. This experience made Virizion trust no one.
He scattered Entercards onto the ground below the Great Glacier that would allow people to cross the sky, with the hope that someone would come and defeat the Bittercold, Umbreon and Espeon find these cards which allow the main character to enter the Glacier palace. After Virizion's and the player's party re-unite, Espeon and Umbreon are shown to be stumbling upon a tower. They fight all the Pokémon that guard the tower. They notice that the tower looks like it has a field of electricity on the surface. They find the only door and promptly ram themselves into it, and it gives in. Inside they find Keldeo lying on his side with Entercards visibly scattered randomly around the room. Espeon and Umbreon help Keldeo, who is surprised that they know his name.
After the confrontation between Munna and her gang, Keldeo explains that he wrote the letter that caused Virizion so much grief to protect her, because he was worried that she would get dragged into his problems. Munna explains how Keldeo was the first Pokémon to make it to the Glacier Palace and approach the Bittercold. She also explains that he fled after Kyurem offered Keldeo the option to join him in protecting the future. Keldeo declined and fled writing a letter to Virizion, but after some time passed he returned to the Glacier Palace to try and convince Kyurem and his subordinates to change the future, to which his reason fell on deaf ears. Keldeo admits to letting himself get caught like that and takes responsibility for his action. Keldeo seems to do fine until a large icicle falls and Munna saves the main characters, when he suddenly collapses from weakness.
Keldeo, along with Hydreigon will automatically join Paradise after the player defeats the Bittercold.
Spoilers end here.
Keldeo will start the adventure with the following moveset: