He gets trained in dragon ball gt. The first episode.
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He is the reincarnation of majin buu. While goku was fighting buu, he said that buu once had good in him before turning pure evil. Goku wished that buu could come back as a good person. King yenma heard the wish and made it happen and thus, uub was born.
its not a episode its a special and its only in Japanese In episode 129 in Dragonball, Goku goes back in time to seek Roshi. maybe that is what you are looking for :)
In the Majin Buu Saga after Buu was resurrected. When Vegeta was in the heavens after he died, he saw Goku go SS3 and accused Goku of mocking him with that transformation. In case you were looking for the episode number it was episode 245
Episode 1, season 1
Dragonball Z Episode 154: No Worries Here It is actually episode 169