Prepare the ingredients. Finely chop your pickles, onion, and dill. The smaller the pieces, the smoother your sauce will feel.
Mix the base. In a medium bowl, add the mayonnaise, lemon juice, Dijon mustard, and Worcestershire sauce. Stir until creamy and well blended.
Add the flavor. Stir in the chopped pickles, dill, onion, salt, and pepper. Mix until everything is evenly combined.
Taste and adjust. Add more lemon juice for brightness or a touch of sugar if you like a slightly sweeter sauce.
Chill before serving. Cover and refrigerate for at least 30 minutes to let the flavors meld. The sauce thickens slightly and tastes even better after resting.