It is a swarming Pokemon. After getting the national dex, you have to talk to Dawn's sister each day until she says there are beldum.
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you can catch beldum at route 228 with poke'radar
In Pokémon Diamond/Pearl/Platinum there is a swarm in Route 228 that you can find wild Beldum. Be prepared, Beldum, along with its evolved forms, are the only non-legendary Pokémon to have a catch rate of 3, which is the lowest possible, making Beldum extremely difficult to capture due to its self-damaging move, Take Down.
Evolve Beldum.
As of Generation Four, and Probably Generation 5, there is only one Beldum. In Ruby, Sapphire, or Emerald, after beating the champion, go to Steven Stone's house on Mossdeep City, and he has left a pokeball and a note, saying that he has given you Beldum to keep. So, you CAN catch Beldum in an Ultra Ball, but there are no wild Beldum TO catch in an Ultra Ball.
Steven Stone will give you a Beldum in exchange for a Forretress.