Wash the mangoes well and dry them thoroughly. Leave the washed mangoes covered with a dish towel on the counter for couple of hours to completely dry them.
Once dry, cut the mango into half lengthwise, this gets a little tricky if the seed is tough, so try to find the exact spot where the seed ends. Scoop out the seed and discard. Cube the mango into small bite size pieces. Try to make sure that each piece has the peel. Pat dry the pieces with a clean kitchen towel to make sure that there is no moisture on the pieces.
Take all the pieces into a large non-reactive container like glass or stoneware bowl. Cover and set aside while you prepare the other ingredients.
Dry roast sesame seeds until lightly browned on medium low heat. Set aside. Dry roast fenugreek seeds and mustard seeds separately.
When all the spices are completely cool, grind each one separately.
Heat oil in a small saucepan until very hot, turn off the heat and let it cool completely.
Add sugar, salt, chili powder, all of the roasted fenugreek and mustard powders, sesame powder and the cooled oil. Mix well.
At this point the pickle is a little thick, but as it sits the mangoes will ooze out their juices and will thin out over time. Cover tightly and let the pickle rest for 24 hours.
Taste the pickle and see if it needs more more salt or sugar or chili powder. If it tastes good, then transfer to clean glass/ porcelain jars. But if you it needs anything to adjust the taste, then let sit for another 24 hours before transferring into jars.