Yes, the Picts gave the Romans a very hard time, mostly because they fought asymmetrically, fierce guerilla warfare. The walls were to establish some kind of boundary between them and Rome. Didn’t seem to help much.
The Picts got their asses handed to them by the Romans. The reason Roman conquest of Caledonia never got done was, there was nothing of value up there. Hadrian's wall was construted on a natural ridge or more than one, and served as a way to control and tax commerce. As in other places, settled life thrived in areas adjacent to areas under full Roman control.
The Picts also got their asses handed to them by the Scots when they finally got around to leaving Ireland.
Not much later, the Vikings wiped out the Picts (or perhaps absorbed some of the survivors) in what is now the Scottish isles. The language (related to Welsh and Cornish) and some form of their culture tottered on until perhaps the 11th century.