Most of the answers here have dealt with how to mange EOFError exceptions, which is really handy if you're unsure about whether the pickled object is empty or not.
However, if you're surprised that the pickle file is empty, it could be because you opened the filename through 'wb' or some other mode that could have over-written the file.
for example:
filename = 'cd.pkl'
with open(filename, 'wb') as f:
classification_dict = pickle.load(f)
This will over-write the pickled file. You might have done this by mistake before using:
...
open(filename, 'rb') as f:
And then got the EOFError because the previous block of code over-wrote the cd.pkl file.
When working in Jupyter, or in the console (Spyder) I usually write a wrapper over the reading/writing code, and call the wrapper subsequently. This avoids common read-write mistakes, and saves a bit of time if you're going to be reading the same file multiple times through your travails
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