Combine the mayonnaise and Dijon mustard in a medium bowl.
Mix until they are well blended.
Add the finely chopped dill pickles and capers.
Stir gently to combine the ingredients.
Pour in the freshly squeezed lemon juice and Worcestershire sauce.
Mix thoroughly to incorporate the liquid ingredients.
Fold in the chopped fresh dill.
Season with a pinch of salt and pepper, adjusting to taste.
Cover the bowl and refrigerate the sauce for at least 30 minutes.
This helps the flavors meld together.