*Krieg the Psycho is the new Vault Hunter based on the Psycho Bandits found around Pandora and rewards players for high-risk behavior such as running into crowds. His action skill is Buzz Axe Rampage, which is a throwable axe that can be equipped with dynamite and allows him to regain health while attacking an enemy.

As a child, Krieg endured abuse from his mother who viewed him as a weakling. Prior to being captured by Hyperion, he worked as a bounty hunter tracking down fugitives and mercenaries.

Dr. Benedict used Krieg and other captured bandits as experiments to become Psychos subjected to horrible abuse and experiments with the lucky ones being the first to die as each surviving batch only endured even more inhumane experiments where traits like self-harm, suicidal impulses, and reckless behavior were encouraged.

Rather than bringing out his psychotic side and destroying his sanity, it only made him feel more powerless. Eventually, a fractured remnant of his psyche manifested itself as an "inner voice" in his mind, as a means for Krieg's sane side to maintain hope and the will to survive.

Learning that he was to be disposed of with the rest of the subjects and Dr. Benedict plans on using children as the next group, he breaks out of the facility and kills Benedict to prevent them from suffering the same fate. However, by that point, Psycho Krieg became the dominant personality and Krieg could no longer communicate properly.

Players are introduced to Krieg as he wanders through Pandora's wasteland, eliminating bandits with his buzz axe. He encounters Maya, who initially believes him to be hostile; she immediately opens fire on him, inadvertently attracting the attention of a group of rats. Too focused on Krieg, Maya fails to notice the rats approaching from behind. Krieg salvages the situation by throwing his buzz axe at the rats, saving Maya from peril. Afterward, Maya warms up to Krieg, and the two congregate. Krieg is last seen clinging to the train carrying the original vault hunters to Windshear.*