Meaning: In a quandary or some other difficult position.

The earliest pickles were spicy sauces made to accompany meat dishes. Later, in the 16th century, the name pickle was also given to a mixture of spiced, salted vinegar that was used as a preservative. The word comes from the Dutch or Low German pekel, with the meaning of 'something piquant'. Later still, in the 17th century, the vegetables that were preserved, for example cucumbers and gherkins, also came to be called pickles.

The 'in trouble' meaning of 'in a pickle' was an allusion to being as disoriented and mixed up as the stewed vegetables that made up pickles. This was partway to being a literal allusion, as fanciful stories of the day related to hapless people who found themselves on the menu. The earliest known use of pickle in English contains such an citation. The Morte Arthure, circa 1440, relates the gory imagined ingredients of King Arthur's diet:

He soupes all this sesoun with seuen knaue childre, Choppid in a chargour of chalke-whytt syluer, With pekill & powdyre of precious spycez.
[He dines all season on seven rascal children, chopped, in a bowl of white silver, with pickle and precious spices]

From: http://www.phrases.org.uk