Keldeo greatly admires the Swords of Justice and longs to be one of them. He is very reckless, often not listening to his mentors and rushing into battle, like when he attacked Kyurem when Keldeo wasn't ready.
While still in training with the Musketeers, Keldeo was convinced that he was ready to face Kyurem in order to become a Musketeer, but Cobalion refused. Disobeying its mentors, Keldeo walked off to the mines of Full Court where Kyurem resided and called it out for a battle, claiming to be a Sword of Justice. When it attacked the dragon, it was completely outmatched and had his horn sliced off by Shadow Claw. The battle also resulted in the freezing of the Swords of Justice, causing Keldeo to flee in fear and Kyurem to pursue the Colt Pokémon in order to finish the battle they had started.
Keldeo, weakened from the one-sided battle with Kyurem, managed to jump down a cliff onto a train, which happened to have Ash, Iris and Cilan riding in it. Although he did not trust them at first, he eventually became friends when Ash and co. saved the Colt Pokémon from Kyurem and its Cryogonal posse. Keldeo then healed up and regained its strength. He told the gang about who he was, and how he aspired to be a Sword of Justice, like its mentors.
Kyurem attacked Keldeo several times, the latter narrowly escaping each time. Ultimately, the battle led back to where the two battled originally, and where Keldeo entered its Resolute Forme, also learning Secret Sword in the process. Keldeo quickly gained the upper hand with improved agility and a combo of Double Team and Focus Blast, but ultimately lost when trying to protect his thawed out masters and friends from a Freeze Shock, with the electrical element causing even more damage. Despite his loss, Keldeo's valor earned it Kyurem's respect, who said it was better to lose a battle than to lose one's friends.