In Pokémon HeartGold and SoulSilver, it has no use. If received via Mystery Gift, the menu option "VIEW LOCK CAPSULE CARD" will appear in the Mystery Gift menu, displaying "The Lock Capsule is held in the strictest safekeeping." as Wonder Card text. It can then be transferred to Pokémon Black and White by using the Relocator, which will change the Wonder Card text to "The Lock Capsule was delivered safely!".
In Pokémon Black and White, it can be opened by Mr. Lock in Castelia City, allowing the player to retrieve the exclusive TM95 (Snarl) from inside it.