Pyramid are naturally occurring structures found in deserts. They are added by Project Zulu. Such as their name, they are in the shape of a pyramid and contain multiple levels. They are often infested with Mimics and other vanilla Minecraft mobs due to the low light levels. There are some tiny pyramids filled with sand, with a spawner in the center. The majority of the loot are Enchanted Books, and Shiny Baubles.
Inside the Pyramid is a maze of corridors leading to many dead ends and clusters of Chests and Mimics, much like Project Zulu's Labyrinths. A sandstone staircase on each floor advances higher up the pyramid, making each one easier to navigate. The value of the loot does not seem to vary between levels.