I had a similar error & this is what I found.
My environment details were as below: steps followed at my end
c:\>pip --version
pip 20.0.2 from c:\python37_64\lib\site-packages\pip (python 3.7)
C:\>python --version
Python 3.7.6
As per the documentation, apparently, python 3.7 already has the pickle package. So it does not require any additional download. I checked with the following command to make sure & it worked.
C:\Python\Experiements>python
Python 3.7.6 (tags/v3.7.6:43364a7ae0, Dec 19 2019, 00:42:30) [MSC v.1916 64 bit (AMD64)] on win32
Type "help", "copyright", "credits" or "license" for more information.
>>> import pickle
>>>
So, pip install pickle
not required for python v3.7 for sure