The paper introduces the pyramid probability distribution through its density in two dimensions, and investigates its properties and those of its copula. The research focuses on ways in which the pyramid distribution demonstrates dependence between its variables, primarily as revealed by its copula and related functions. The pyramid distribution bears an intimate relationship to the normal distribution, a relationship revealed and investigated. The pyramid density is built from the normal distribution function, making the pyramid the normal distribution once removed. Having normal margins, the pyramid returns to its foundation. The paper presents a general theory of this distribution, some formal, some discursive, including the presentation of a one-parameter family.