Dolphin is found in Atlantica in Kingdom Hearts, Kingdom Hearts II, and their remakes. Flounder calls them "giant fish," and notes that the Heartless often scare it away. If Sora defeats the nearby Heartless, it will be grateful enough to give him and his party a ride past the currents that block the passage to the Shipwreck.
In Kingdom Hearts, the Dolphin is a minor but helpful character. Flounder mentions that the Dolphin is scared of the Heartless.
If Sora defeats nearby Heartless, the Dolphin leads him, Donald, and Goofy to the Shipwreck area, being able to swim against water currents. It also leads Sora to other places in Atlantica if he lets go of the Dolphin before reaching the Shipwreck.
After reaching the Shipwreck area, it will return to the underwater valley in a few short seconds.