Which building has the highest load bearing?

That's a tough question depending on what you are looking for. I have no idea what the highest load bearing for a single wall or pillar is but I believe that Philadelphia City Hall is the tallest building using load bearing walls and it may well be what you are looking for.

My vote would be for the great pyramid....

In a pyramid, wouldn't the load be passed out to a large footing area? I thought the initial questioner was searching for most mass concentrated on the smallest footprint.

Bearing load is measured in weight or force per some unit area. On a building with columns, each column would have its on bearing load per square inch so the question doesn't make much sense. There is no single bearing load for a building. Even your example seems to be for a single (typical?) stone or masonry pillar. In general though the highest bearing loads would be on steel structures and steel itself has a limit.

Philadelphia’s Beautiful Load-Bearing City Hall.

I think The Monadnock Building is the skyscraper located in Chicago and this is the highest building with the highest load bearing properties.