Saving high scores in a pickle database
Use of global should generally be avoided. You could create a class to hold the dictionary and the three functions would become methods.
Don't repeat yourself: use a variable for the file name so you don't have to change it in three places if it needs to change. 
The save_score function assigns new_score = (name, score) for no reason at all. Using the two variables directly in the code that follows would improve readability.