Python pickle files are a sequence of op-codes that run on the pickle VM. By default the VM allows calls to arbitrary Python functions. I'm still puzzling whether Python pickles without access to Python globals (e.g. using https://docs.python.org/3/library/pickle.html#restricting-gl...) are Turing complete. I don't think so, because the pickle VM has no branching or looping, but it does have a stack and my understanding of automata theory is not great.
My research/tinkering so far is https://github.com/moreati/pickle-fuzz