In 2004, Yu-Gi-Oh! The Movie: Pyramid of Light, or simply Yu-Gi-Oh!: The Movie, hit theaters in the United States. The film is based on the Yu-Gi-Oh! anime series, which is itself based on the original manga by Kazuki Takahashi. That being said, Pyramid of Light has a very complicated relationship with both the television show and the manga, and is largely not considered to be canon. But from a certain point of view, it just might be.
The debate surrounding Pyramid of Light's canonicity begins with the fact that the movie was very much made with Yu-Gi-Oh!'s English-speaking audience in mind. The film was commissioned and produced by the anime's North American licensor 4Kids, much like the mini-series Yu-Gi-Oh! Capsule Monsters. Unlike Capsule Monsters, however, Pyramid of Light did actually make its way to Yu-Gi-Oh!'s native Japan. The Japanese version of the film released in November 2004 -- three months after the English version's August premiere -- featuring a modified script, as well as 12 minutes of additional footage not seen in the U.S. release.
Timeline-wise, Pyramid of Light is easy to place. The movie released in the U.S. around the time 4Kids' English dub of Yu-Gi-Oh! was wrapping up its third season. As such, a newscast seen in the film suggests the Battle City Tournament only recently concluded. Furthermore, main protagonist Yugi Muto still has all three Egyptian God Cards, which were stolen from him at the beginning of the "Waking the Dragons" arc. Therefore, the movie can confidently be placed between Yu-Gi-Oh! Seasons 3 and 4. Despite this -- and despite the fact that the film did release in Japan -- Pyramid of Light would still create some continuity problems if it were canon to the anime.
While there are a number of issues, such as status quo-altering Duel Monsters cards that are introduced in the movie but never seen (or even mentioned) again, the big problem is the film's main antagonist: Anubis, the Egyptian god of the dead. Pyramid of Light establishes that Anubis has a long history with Yugi's alter ego, Yami, aka Pharaoh Atem. However, while Yu-Gi-Oh!'s version of Anubis was designed by Takahashi himself, the character was never once mentioned in the three seasons that preceded the movie, nor the two seasons that followed it. Anubis also goes completely unmentioned in the original manga.
The novelization of Pyramid of Light does a slightly better job at retrofitting the villain into Yu-Gi-Oh!'s story, revealing that Aknadin created the eponymous Pyramid of Light in a failed attempt to make a new Millennium Puzzle, only to have it be co-opted by Anubis. But like all movie novelizations, this one's canon status is already questionable at best.
Given that Pyramid of Light was commissioned directly by 4Kids, it's unsurprising that Anubis is never referenced in the original manga or the Japanese version of the anime. What is surprising is that the English dub never references him either, even though it had the perfect opportunity to. Pyramid of Light explains that Anubis' original confrontation with Atem happened during the latter's reign as Pharaoh.
Atem's time as Pharaoh is chronicled in Yu-Gi-Oh! Season 5's "Dawn of the Duel" storyline, though Anubis is nowhere to be seen. As some have pointed out, however, this doesn't definitively prove anything, as "Dawn of the Duel" does not show Atem's entire reign, meaning his encounter with Anubis easily could have taken place beforehand.
Moreover, while later seasons of the English dub never mention Anubis, they do make a couple of subtle callbacks to Pyramid of Light. In Season 4's "The Creator Returns," Yugi's friend Tristan Taylor comments on Season 1's villain, Maximillion Pegasus, noting that he "wasn't so creepy" the "last time" they saw him. This is a reference to the fact that in Pyramid of Light, Pegasus was an ally to Yugi and his friends, rather than an adversary.
Then, in Season 5's "The Intruder - Part 1," Yugi's best friend Joey Wheeler references the "last time" the gang was stuck inside the Millennium Puzzle, which would have been during the movie. Considering that the events of Pyramid of Light nearly brought about the end of the world, you'd think they'd have more to say -- but apparently not.
Based on all of this information, we can reasonably conclude that Pyramid of Light is not canon to the Yu-Gi-Oh! manga. It's also most likely not canon to the Japanese version of the anime and, at best, exists in an alternate timeline. That said, the film appears to be at least semi-canon to the English version of the anime. Mind you, there are some who write off the English dub entirely, given the many controversial changes 4Kids made during the localization process. But even so, the dub is still a legitimate piece of Yu-Gi-Oh!'s history, as is Pyramid of Light.