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Apocalypse's Pyramid was constructed by a young En Sabah Nur using telekinesis on the site that would later become Cairo, Egypt.
Millenia ago, the tyrant Apocalypse used the technology within the pyramid to transfer his essence into a new mutant body allowing him to accumulate various mutant powers and live multiple life times. It was during one of these transferring ceremonies that the peasants, tired of being subjugated, attacked Apocalypse and his Horsemen, destroying the temple and burying them within the sands.