Pilgrim comes from the Latin words per (meaning "through") plus ager (meaning "land, field"), which were combined into the adjective pereger, used to describe a person traveling abroad. Eventually, this developed into peregrinus, meaning "a foreigner."

Appropriately enough, the word peregrinus traveled far and wide (from Latin into Old French, then Middle English, and eventually modern English). From the very earliest days of Christianity, it was customary for Christians to journey to places of religious significance. A person making such a pilgrimage was also known as a peregrinus, which in Late Latin became peligrinus. In Old French, the word became peligrin, which was borrowed into English around 1200 as pelegrim or pilegrim, becoming pilgrim in modern English.

After William Bradford first used the term pilgrim to refer to the Puritan settlers of Massachusetts, Cotton Mather also used the word in his history of New England, published in 1702. At the 1820 bicentennial of the Plymouth settlement, Daniel Webster spoke eloquently of "our homage to our Pilgrim Fathers," and this name has since become common usage.