In Pokémon HeartGold and SoulSilver, it has no use. It can be transferred from Pokémon HeartGold and SoulSilver to Pokémon Black and White by using the Relocator.
In Pokémon Black and White, it can be opened by Mr. Lock in Castelia City, allowing the player to retrieve the exclusive TM95 (Snarl) from inside it.
In-game data reveals the following about the Lock Capsule: a menu option "VIEW LOCK CAPSULE CARD", event data "The Lock Capsule is held in the strictest safekeeping." and "The Lock Capsule was delivered safely!".