diff --git a/doc/source/whatsnew/v0.23.0.txt b/doc/source/whatsnew/v0.23.0.txt
index bffdf5b7918ca..fd6be268b6db7 100644
--- a/doc/source/whatsnew/v0.23.0.txt
+++ b/doc/source/whatsnew/v0.23.0.txt
@@ -957,6 +957,7 @@ I/O
 - :class:`Interval` now supported in :func:`DataFrame.to_excel` for all Excel file types (:issue:`19242`)
 - :class:`Timedelta` now supported in :func:`DataFrame.to_excel` for all Excel file types (:issue:`19242`, :issue:`9155`, :issue:`19900`)
 - Bug in :meth:`pandas.io.stata.StataReader.value_labels` raising an ``AttributeError`` when called on very old files. Now returns an empty dict (:issue:`19417`)
+- Bug in :func:`read_pickle` when unpickling objects with :class:`TimedeltaIndex` or :class:`Float64Index` created with pandas prior to version 0.20 (:issue:`19939`)
 
 Plotting
 ^^^^^^^^
diff --git a/pandas/compat/pickle_compat.py b/pandas/compat/pickle_compat.py
index f651fbbf56316..e444c4002c2c0 100644
--- a/pandas/compat/pickle_compat.py
+++ b/pandas/compat/pickle_compat.py
@@ -113,6 +113,12 @@ def load_reduce(self):
     # 19269, arrays moving
     ('pandas.core.categorical', 'Categorical'):
         ('pandas.core.arrays', 'Categorical'),
+
+    # 19939, add timedeltaindex, float64index compat from 15998 move
+    ('pandas.tseries.tdi', 'TimedeltaIndex'):
+        ('pandas.core.indexes.timedeltas', 'TimedeltaIndex'),
+    ('pandas.indexes.numeric', 'Float64Index'):
+        ('pandas.core.indexes.numeric', 'Float64Index'),
 }
 
 
diff --git a/pandas/tests/io/data/legacy_pickle/0.16.2/0.16.2_AMD64_windows_2.7.14.pickle b/pandas/tests/io/data/legacy_pickle/0.16.2/0.16.2_AMD64_windows_2.7.14.pickle
new file mode 100644
index 0000000000000..6341fa26d1f25
Binary files /dev/null and b/pandas/tests/io/data/legacy_pickle/0.16.2/0.16.2_AMD64_windows_2.7.14.pickle differ
diff --git a/pandas/tests/io/data/legacy_pickle/0.19.2/0.19.2_AMD64_windows_2.7.14.pickle b/pandas/tests/io/data/legacy_pickle/0.19.2/0.19.2_AMD64_windows_2.7.14.pickle
new file mode 100644
index 0000000000000..ddd88f77aa2a4
Binary files /dev/null and b/pandas/tests/io/data/legacy_pickle/0.19.2/0.19.2_AMD64_windows_2.7.14.pickle differ
diff --git a/pandas/tests/io/generate_legacy_storage_files.py b/pandas/tests/io/generate_legacy_storage_files.py
index 67f95c828c80e..31e2033b23d87 100755
--- a/pandas/tests/io/generate_legacy_storage_files.py
+++ b/pandas/tests/io/generate_legacy_storage_files.py
@@ -40,7 +40,7 @@
 from pandas import (Series, DataFrame, Panel,
                     SparseSeries, SparseDataFrame,
                     Index, MultiIndex, bdate_range, to_msgpack,
-                    date_range, period_range,
+                    date_range, period_range, timedelta_range,
                     Timestamp, NaT, Categorical, Period)
 from pandas.tseries.offsets import (
     DateOffset, Hour, Minute, Day,
@@ -116,7 +116,18 @@ def create_data():
 
     index = dict(int=Index(np.arange(10)),
                  date=date_range('20130101', periods=10),
-                 period=period_range('2013-01-01', freq='M', periods=10))
+                 period=period_range('2013-01-01', freq='M', periods=10),
+                 float=Index(np.arange(10, dtype=np.float64)),
+                 uint=Index(np.arange(10, dtype=np.uint64)),
+                 timedelta=timedelta_range('00:00:00', freq='30T', periods=10))
+
+    if _loose_version >= LooseVersion('0.18'):
+        from pandas import RangeIndex
+        index['range'] = RangeIndex(10)
+
+    if _loose_version >= LooseVersion('0.21'):
+        from pandas import interval_range
+        index['interval'] = interval_range(0, periods=10)
 
     mi = dict(reg2=MultiIndex.from_tuples(
         tuple(zip(*[[u'bar', u'bar', u'baz', u'baz', u'foo',
@@ -276,6 +287,8 @@ def create_msgpack_data():
     del data['frame']['cat_onecol']
     del data['frame']['cat_and_float']
     del data['scalars']['period']
+    del data['index']['interval']
+    del data['offsets']
     return _u(data)