Pierro's past is largely a mystery, but is alluded to in Mocking Mask. He failed to gain favor with the past ruler of an unknown country due to being less capable than the other wise men, and could not stop them from doing something that tore away the veil of sin, which brought destruction to the country. For this reason, he became embittered with the "divine" and joined the Tsaritsa's cause.
Pierro, the first of the Eleven Fatui Harbingers, mentions a veil of sin which was torn away by the wise men of his original nation, thereby "ushering in a tide of divine wrath, destruction, and foolishness."
While his original nation has not been explicitly stated, there are several indications that it is Khaenri'ah: The term "sinner" is heavily associated with Khaenri'ah during and after the cataclysm, and Khaenri'ah is the only nation known to have faced "divine wrath" and "destruction" immediately before the Fatui's formation in response to said divine wrath.
─ About The Cataclysm, Celestia's Role.