Captain Pickersgill joined the Canadian Intelligence Corps then, because he was fluent in the French language, he was recruited into the Special Operations Executive. Along with fellow Canadian, John Kenneth Macalister, he was parachuted into occupied France on June 20, 1943, to work with the French Resistance. The two men were picked up by fellow SOE agent Yvonne Rudelatt, but their vehicle was stopped by the Gestapo, who had been tipped by an informer, and although they tried to get away, shots were fired and Rudelatt was hit, causing the car to crash. Pickersgill suffered minor injuries but was sent to Fresnes Prison in Paris where he was tortured repeatedly. He was shipped with members of the Robert Benoist group to Buchenwald concentration camp on August 27, 1944.
Pickersgill was executed by the Nazis on September 14, 1944, along with two other Canadian SOE agents, Roméo Sabourin and John Kenneth Macalister.
Posthumously, the government of France awarded him the Legion of Honor, and as one of the SOE agents who died for the liberation of France, he is listed on the "Roll of Honor" on the Valençay SOE Memorial in the town of Valençay in the Indre departément. Captain Pickersgill is also honored on the Groesbeek Memorial in the Groesbeek Canadian War Cemetery in the Netherlands.
Frank was the younger brother of Jack Pickersgill, a member of the Canadian House of Commons and a Cabinet Minister.
In 1948, The Pickersgill Letters, written by Pickersgill during the period 1934-43 were published by George H. Ford; they were republished in 1978 as The Making of a Secret Agent: Letters of 1934-1943 by Frank Pickersgill.