Rocky was the dragon who guarded the Scythe of Quakes, one of the Four Golden Weapons, before merging with its fellow guardians to become the Ultra Dragon.
Rocky was charged by Master Wu with protecting the Scythe of Quakes, and thus dwelt at the Caves of Despair. He was later awakened in "The Golden Weapon" when the Ninja obtained the Scythe of Quakes, but they were able to escape him. However, in "Weapons of Destiny" Kai succeeds in befriending Flame, and his fellow Ninja follow his example to tame Rocky, Shard, and Wisp. Using the dragons' power to travel between worlds, the Ninja then make their way into the Underworld to rescue Wu.
In "Day of the Great Devourer", it is revealed that Rocky has merged with the other three dragons and become the Ultra Dragon.