In the US, the FFDO programme trains and permits pilots to carry a firearm in the cockpit.
Do any other countries have a similar programme?
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I spent a bit of time Googling this and I couldn't find any other country that systematically arms pilots using a public, open program like the FFDO. What countries might do in secret is anyone's guess, though.
The most obvious candidate is Israel, since El Al is famous for its tough and often very visible security. There are many reports that El Al uses sky marshals (one article says "on all flights"), but I couldn't find any mention of the pilots themselves being armed. That doesn't mean they aren't armed, but it at least suggests that there is no public program in Israel comparable to the FFDO.
For the same reason, the lack of information about similar publicly recognized programs in other countries strongly suggests that they don't exist.