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I'm quite sure he got it form DiZ/Ansem the Wise, as he is first seen wearing it during Riku's ending of Chain of Memories. AkaAxl 09:47, April 18, 2013 (UTC)

AkaAxl is correct. When Riku and King Mickey leave the Organization's former stronghold of Castle Oblivion during the time of Kingdom Hearts: Chain of Memories, they are gifted with personalized black coats by the former king of the Radiant Garden, Ansem the Wise, who has assumed the identity of "DiZ", so that they are able to safely pass through corridors of darkness and evade the Organization. ~ NecroGasmic♥ 03:02, December 7, 2013 (UTC)