Many religions, including those of ancient Egypt, Persia during the Mithraic period, India, China, and Japan, include pilgrims and pilgrimages. The Greek and Roman customs of paying respects to the gods at local prophets, like those at Dodona and Delphi in Greece, are well-known. Pilgrimages in Greece might be private or state-sponsored.

Pilgrims journeyed to Shiloh, Dan, Bethel, and finally Jerusalem in ancient Hebrew history. While many pilgrims visit a specific location, it is not always necessary. The Peregrinari Pro Christ (Pilgrims for Christ), or 'white martyrs,' were a group of early Celtic Christians who abandoned their homes to roam the world. This type of pilgrimage was an austere religious practice in which the pilgrim left the safety of his or her home and clan for an unknown destination, entirely relying on Divine Providence. These journeys frequently led to the establishment of new abbeys and the spread of Christianity among Britain's and continental Europe's pagan populations.