A post office called Pilgrim was established in 1886, and remained in operation until 1907. A first settler was a native of Kentucky, and the name may be a transfer from Pilgrim, Kentucky.
- U.S. Geological Survey Geographic Names Information System: Pilgrim, Missouri
- "Post Offices". Jim Forte Postal History. Retrieved 25 September 2016.
- "Dade County Place Names, 1928–1945 (archived)". The State Historical Society of Missouri. Retrieved 25 September 2016.