Step 1: Define the CNS.
The central nervous system is the brain and spinal cord, wrapped by three membranes called meninges.
Step 2: Name the meninges.
The three meninges are dura mater, arachnoid mater and pia mater.
Step 3: Test pericardium.
The pericardium is the membrane around the heart, part of the circulatory system, not the nervous system.
Step 4: Test arachnoid and dura mater.
Arachnoid is the middle meninx and dura mater is the tough outer meninx, so both belong to the CNS coverings.
Step 5: Test pia mater.
Pia mater is the delicate inner meninx hugging the brain, so it too is part of the CNS.
Step 6: Conclude.
Only pericardium is unrelated to the CNS, so it is the odd one out.
\[ \boxed{\text{Pericardium}} \]