diff --git a/doc/source/whatsnew/v0.18.0.txt b/doc/source/whatsnew/v0.18.0.txt
index 5ccf829fd5a42..bd9707381190a 100644
--- a/doc/source/whatsnew/v0.18.0.txt
+++ b/doc/source/whatsnew/v0.18.0.txt
@@ -31,7 +31,7 @@ New features
 Other enhancements
 ^^^^^^^^^^^^^^^^^^
 
-
+- `read_pickle` can now unpickle from compressed files (:issue:`11666`).
 
 
 
diff --git a/pandas/io/common.py b/pandas/io/common.py
index e46f609077810..bf5c76950fe22 100644
--- a/pandas/io/common.py
+++ b/pandas/io/common.py
@@ -237,6 +237,33 @@ def _stringify_path(filepath_or_buffer):
     return filepath_or_buffer
 
 
+def get_compression_type(filepath_or_buffer, compression_kwd):
+    """
+    Determine the compression type of a file or buffer.
+
+    Parameters
+    ----------
+    filepath_or_buffer : string
+        File path
+    compression_kwd: {'gzip', 'bz2', 'infer', None}
+        Compression type ('infer' looks for the file extensions .gz and .bz2, using gzip and bz2 to decompress
+        respectively).
+
+    Returns
+    -------
+    compression : {'gzip', 'bz2', None} depending on result
+    """
+    # If the input could be a filename, check for a recognizable compression extension.
+    # If we're reading from a URL, the `get_filepath_or_buffer` will use header info
+    # to determine compression, so use what it finds in that case.
+    inferred_compression = None
+    if compression_kwd == 'infer' and isinstance(filepath_or_buffer, compat.string_types):
+        if filepath_or_buffer.endswith('.gz'):
+            inferred_compression = 'gzip'
+        elif filepath_or_buffer.endswith('.bz2'):
+            inferred_compression = 'bz2'
+    return inferred_compression
+
 def get_filepath_or_buffer(filepath_or_buffer, encoding=None,
                            compression=None):
     """
@@ -467,4 +494,4 @@ def _check_as_is(x):
             # write to the target stream
             self.stream.write(data)
             # empty queue
-            self.queue.truncate(0)
\ No newline at end of file
+            self.queue.truncate(0)
diff --git a/pandas/io/parsers.py b/pandas/io/parsers.py
index 9d25eaecc6620..354b6d59dc719 100755
--- a/pandas/io/parsers.py
+++ b/pandas/io/parsers.py
@@ -17,7 +17,7 @@
 from pandas.core.common import AbstractMethodError
 from pandas.core.config import get_option
 from pandas.io.date_converters import generic_parser
-from pandas.io.common import (get_filepath_or_buffer, _validate_header_arg,
+from pandas.io.common import (get_filepath_or_buffer, get_compression_type, _validate_header_arg,
                               _get_handle, UnicodeReader, UTF8Recoder)
 from pandas.tseries import tools
 
@@ -242,25 +242,7 @@ def _read(filepath_or_buffer, kwds):
     if skipfooter is not None:
         kwds['skip_footer'] = skipfooter
 
-    # If the input could be a filename, check for a recognizable compression extension.
-    # If we're reading from a URL, the `get_filepath_or_buffer` will use header info
-    # to determine compression, so use what it finds in that case.
-    inferred_compression = kwds.get('compression')
-    if inferred_compression == 'infer':
-        if isinstance(filepath_or_buffer, compat.string_types):
-            if filepath_or_buffer.endswith('.gz'):
-                inferred_compression = 'gzip'
-            elif filepath_or_buffer.endswith('.bz2'):
-                inferred_compression = 'bz2'
-            else:
-                inferred_compression = None
-        else:
-            inferred_compression = None
-
-    filepath_or_buffer, _, compression = get_filepath_or_buffer(filepath_or_buffer,
-                                                                encoding,
-                                                                compression=kwds.get('compression', None))
-    kwds['compression'] = inferred_compression if compression == 'infer' else compression
+    kwds['compression'] = get_compression_type(filepath_or_buffer, encoding, kwds['compression'])
 
     if kwds.get('date_parser', None) is not None:
         if isinstance(kwds['parse_dates'], bool):
diff --git a/pandas/io/pickle.py b/pandas/io/pickle.py
index 52a9ef0370e9e..e444ed30ecd81 100644
--- a/pandas/io/pickle.py
+++ b/pandas/io/pickle.py
@@ -1,4 +1,5 @@
 from pandas.compat import cPickle as pkl, pickle_compat as pc, PY3
+from pandas.io.common import _get_handle, get_compression_type
 
 def to_pickle(obj, path):
     """
@@ -14,7 +15,7 @@ def to_pickle(obj, path):
         pkl.dump(obj, f, protocol=pkl.HIGHEST_PROTOCOL)
 
 
-def read_pickle(path):
+def read_pickle(path, compression='infer'):
     """
     Load pickled pandas object (or any other pickled object) from the specified
     file path
@@ -26,6 +27,9 @@ def read_pickle(path):
     ----------
     path : string
         File path
+    compression: {'gzip', 'bz2', 'infer', None}, default 'infer'
+        Compression type,  ('infer' looks for the file extensions .gz and .bz2, using gzip and bz2 to decompress
+        respectively).
 
     Returns
     -------
@@ -41,19 +45,20 @@ def try_read(path, encoding=None):
 
         # cpickle
         # GH 6899
+        _compression = get_compression_type(path, compression)
         try:
-            with open(path, 'rb') as fh:
+            with _get_handle(path, 'rb', encoding, _compression) as fh:
                 return pkl.load(fh)
         except (Exception) as e:
 
             # reg/patched pickle
             try:
-                with open(path, 'rb') as fh:
+                with _get_handle(path, 'rb', encoding, _compression) as fh:
                     return pc.load(fh, encoding=encoding, compat=False)
 
             # compat pickle
             except:
-                with open(path, 'rb') as fh:
+                with _get_handle(path, 'rb', encoding, _compression) as fh:
                     return pc.load(fh, encoding=encoding, compat=True)
 
     try: