Which anime is Billy the Kid from?

Billy the Kid appears in Fate/Grand Order.

What role does Billy the Kid have in that anime?

In Fate/Grand Order, Billy the Kid is listed as a supporting character.

Billy the Kid appears in several anime, including Fate/Grand Order, Fate/Grand Order: Shuukyoku Tokuiten - Kani Jikan Shinden Solomon.

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Fate/Grand Order: Turas Réalta: Billy the Kid is a member of Geronimo's Resistance. He appears in chapter 39.

Fate/Grand Order

Fate/Grand Order: Shuukyoku Tokuiten - Kani Jikan Shinden Solomon

Type-Moon Gakuen: Chibichuki!

Fate/Grand Order Anthology Comic: Star

Fate/Grand Order: Dengeki Comic Anthology

Fate/Grand Order: Turas Réalta

Manga de Wakaru! Fate/Grand Order

Fate/Grand Order Comic Anthology: The Next

Fate/Grand Order: Comic à la Carte

Fate/Grand Order: From Lostbelt

Fate/Grand Order: Fujimaru Ritsuka wa Wakaranai

Fate/Grand Order: Avalon Tale - Nakatani Sakuhinshuu