Convolutional Neural Networks (CNNs) can be shifted across 2D images or 3D videos to segment them. They have a fixed input size and typically perceive only small local contexts of the pixels to be classified as foreground or background. In contrast, Multi-Dimensional Recurrent NNs (MD-RNNs) can perceive the entire spatio-temporal context of each pixel in a few sweeps through all pixels, especially when the RNN is a Long Short-Term Memory (LSTM). Despite these theoretical advantages, however, unlike CNNs, previous MD-LSTM variants were hard to parallelise on GPUs. Here we re-arrange the traditional cuboid order of computations in MD-LSTM in pyramidal fashion. The resulting PyraMiD-LSTM is easy to parallelise, especially for 3D data such as stacks of brain slice images. PyraMiD-LSTM achieved best known pixel-wise brain image segmentation results on MRBrainS13 (and competitive results on EM-ISBI12).