[6] In late 1991, he and his brother, Michel Lacocque (the band manager) founded Mississippi Heat with three other musicians.

It was originally a quartet composed of guitarist-singer Jon McDonald, bassist Bob Stroger, drummer-singer Robert Covington and Pierre Lacocque, harmonicist and bandleader.

[5] Lacocque has since been Mississippi Heat's leader, harmonica player, producer, and primary composer and songwriter for the group.

[9][10] By 1957, Pierre Lacocque had lived in four countries, having spent two years in Germany, three in France, and finally returning to Belgium.

[10] Lacocque's father, to whom he has become very close,[11] valued intellectual pursuits in the fields of Judeo-Christian theology, philosophy, and classical literature.

[11][12] The musician said in a 2014 interview that although it was “amazing” to have the “privilege” to read intellectual and classical texts, “it did not match who I was mentally.”[11] The school he attended while living in Brussels also had a big impact on him.

His identity crisis was fueled by the fact that he and his siblings Elisabeth (four years younger) and Michel (19 months older) also attended the Athénée Maimonide, a Jewish Orthodox School.

[12] This was a choice his parents and paternal grandfather made in response to the anti-Semitism they had witnessed during World War II.

Both parents and their families had had eye opening, transforming, and in some cases, tragic experiences during World War II.

As Lacocque and his siblings were the only non-Jews at the school, he often felt out of place for being a Christian, adding to a feeling of loneliness and isolation.

"[9][10][11] Lacocque says he never lost the deep connection to Judaism he was exposed to, both at home and at school, and would later find solace in Judeo-Christian philosophy and theology.

First, as a young child living in Neuviller-la Roche, a mountain village in the Alsatian region of France,[12] his father gave him a green plastic harmonica.

[13] In an interview with WBEZ's Niles Frantz, he said that, "during my pre-Chicago years I loved the harmonica but did not know deep blue notes could be played on them.

He decided to go to as many live performances as possible, some of these by James Cotton, Louis Myers, Carey Bell, Howlin' Wolf, Charlie Musselwhite and Paul Oscher with the Muddy Waters band.

[9][14] He and his brother Michel went to hear Junior Wells at the now-closed Theresa's Lounge on 48th and Indiana Avenue on Chicago's South Side.

So I studied existentialists for a long time, and I followed a path that was exciting: going to school, writing papers, formulating my thinking, and reading other people.

He met Tad Robinson, a Blues harmonica player and soul singer, in Pierre's church in Oak Park, Illinois.

Tad was then playing with the Mojo Kings, with pianist Mark Brombach, guitarist Steve Freund, bassist Harlan Terson, and drummer John Hiller.

There he met Muddy Waters' alumnus bass player and singer Lawrence Lil' Sonny Wimberly.

He also met pianist Carl Snyder, an ex-member of the Lonnie Brooks Band, and drummer Michael Lynn.

With the exception of Bob Stroger and Robert Covington, Billy Flynn and James Wheeler were not the original members of the band.

Of the dynamic ensemble, Living Blues Magazine says, "... by constantly stirring the pot with new ingredients, Pierre Lacocque ensures that Mississippi Heat remains vital.

[7] Among other countries, Pierre and his band, Mississippi Heat, have also performed in: Austria, Croatia, England, Finland, France, Germany, Greece, Hungary, Luxembourg, Mexico, Netherlands, Poland, Serbia, Slovenia, Spain, Tunisia, and Turkey.

Back to the Roots, a 1994 Belgian feature-length movie,[17] was made about the original six-piece band with Lacocque, Farr, Flynn, Wheeler, Stroger and Kirk.

It drew from interviews with each member of the band during their 1994 performance at the Ecaussinnes Spring Blues Festival in Belgium and focused on the Belgian roots of Pierre and Michel Lacocque.