As far as currently known Jimi was never an actual full-time member of Wilson Pickett's band but occasionally appeared on the same bill (while playing guitar for other artists) and did play guitar behind Pickett at least once. I have tried to compile all of the known dates (confirmed and unconfirmed) on which Jimi and Pickett crossed paths on the "Live Dates" -page. 

In a 1969 interview for the New Musical Express Wilson Pickett stated that he never had Jimi playing in his band. Alan Smith talked to Pickett in the UK before a Top of the Pops TV appearance. The picture that is being referred to here is one of the shots taken by William "Popsie" Randolph in NYC 5 May 1966:
"He's warming up now, and we talk about a picture I'd seen of him singing with a short-haired Jimi Hendrix playing guitar behind. Was Jimi ever in his backing group?
"Well no, at that particular time Atlantic Records was givin' us a party, and Jimi Hendrix at that time was playin' with King Curtis band. The band was at the party in New York, and I was just singin' a song."

Jimi himself however did talk about playing with Wilson Pickett, interview with Jimi 13 February 1967 for the BBC radio program Saturday Club (listen on YouTube Music):
Brian Matthew: "Our next guest, Jimi Hendrix. Jimi is not a permanently resident in Britain but he comes from the States and I believe you played with some big names over there, didn't you Jimi?
Jimi: "Well like Little Richard, Isley Brothers, you know, Wilson Pickett, Solomon Burke, Jackie Wilson, Sam Cooke." 1

Jimi also mentioned playing "In The Midnight Hour" during a filmed 7 January 1969 interview in London (as seen in a film about Jimi Hendrix):
"Well when I was with the Isley Brothers, ah, they used to make me do my [thing?] because it made them more bucks, so something, I don`t know. Anyway with them, but I used to like to do it then but most groups I was with they didn`t let me do my own thing, you know, like feedback in "Midnight Hours" or something like that."

Jimi isn't here necessarily talking about playing the song with Wilson Pickett though. The Wilson Pickett 45 "In The Midnight Hour / I`m Not Tired" (Atlantic 45-2289) was released in the USA in early June 1965 3 so Jimi had plenty of time to play the song live with several different artists. It was a hit so it would have ended up on many set lists in 1965 - 1966.

Wilson Pickett recorded a version of "Three Time Loser" (composed by Don Covay & Ronald Miller) at Fame Studios during sessions on 13 & 14 October 1966. The recording was released on the single "Mustang Sally / Three Time Loser" (Atlantic 45-2365) in November 1966 2, below is an undated shot possibly from one of the six 1966 Wilson Pickett sessions at Fame Studios.

Don Covay's own recording of the song was released in 1977 on the LP Funky Yo-Yo, a compilation of unreleased / left over studio recordings and demos. According to Covay his recording of the song features Jimi Hendrix on guitar.

This is an interesting claim and it is a possibility but hard to confirm in any way as there is no recording session information available for the track at all.

There are however a lot of connections here: Jimi did record with Don Covay in the studio in 1964 and he did play live with Wilson Pickett at the May 1966 Atlantic Records party - where he also appeared on stage with Don Covay.

So even though these claims are unsubstantiated and there is no concrete evidence to confirm Jimi's involvement with Covay's "Three Time Loser" it can't be easily dismissed either. You can read more about "Three Time Loser" on the Don Covay Funky Yo-Yo -page.

1 the quoted portion of the interview was partially (Brian Matthew's question is missing) released on BBC Sessions by The Jimi Hendrix Experience, track 10 "A Brand New Sound" on disc 2 of the CD version. The full unedited version of the interview is available on collector's discs.

2 the single was reviewed in Billboard issue 12 November 1966

3 the single is mentioned in the 19 June 1965 issue of Cash Box in the "NEW YORK" part of the "RECORD RAMBLINGS" -section:
"Bob Kornheiser is glowing over early showings by Carla Thomas’ “Stop! Look What You’re Doing” (Stax), Wilson Pickett’s “In The Midnight Hour” and the big Joe
Tex single cut from an LP at deejay requests, “One Monkey Don’t Stop No Show.”"

The 19 June 1965 issue of Record World reported under the "R&B BEAT" -section:
"The new Wilson Pickett just broke in N.Y."

There's also an image of a promo copy of the single on www.45cat.com that has been stamped "JUN2 1965"

4 interview published in the 15 February 1969 issue of the New Musical Express. This interview was quoted in Univibes #74 but there's are some small but significant errors in the quote, Pickett did not say:
"No not at that particular time, Atlantic Records was giving us a party and Jimi Hendrix was playing with King Curtis, who attended the party in New York."

as reprinted in Univibes - the original NME article actually reads:
""Well no, at that particular time Atlantic Records was givin' us a party, and Jimi Hendrix at that time was playin' with King Curtis band. The band was at the party in New York, and I was just singin' a song."

There is a big difference in meaning between the two versions of the text, the Univibes quote of the article suggest that Jimi did not play with Pickett at the time when the photo was taken - but may have done so on another occasion.

The message of the original quote is clear: Pickett says that he never had Jimi playing in his band. Whether that statement is correct or not is a different matter altogether.