well,the goat idea aint a bad one,but a pygmy,even though they are tough,1 aint going to be alot of help.maybe carry water,or sleeping gear.at the most,20% body weight
on flat terrain,less in the hills.
and they wont eat "anything".they are browsers.but if you are working them,you will have to pack concentrated food for them.
but as a companion,maybe carrying a very light load,one pygmy could be an advantage.especially if you learn to use its sense of smell and hearing.
and you can always dress it out and eat it if need be
ken