The first of the three Generation V Pokemon that wasn't revealed at first. It is the 4th member of the Musketeer Quartet along with Colbalion, Terrakion and Virizion. It is based on the mythical water demon Kelpie as well as d'Artagnan, the 4th musketeer.
It is said the Keldeo was separated from its parents in a fire and was saved by the Musketeer trio. They took care of it and helped it with their knowledge of survival. Keldeo soon left them for a unknown reason.