The Pilgrim follows Will, an American architect living in London, as he begrudgingly returns home to his small childhood town after his estranged mother dies. Tasked by his sister, Jeannie, to transport his mother's remains to their final resting place at his aunt's ranch, Will embarks on an odyssey through the American West – its landscapes, its history, and its traditions – through which he begins to question the life he left and the man he has become.
The film serves not only to deconstruct Will the person, but also many of the myths about masculinity and the American West. The women he encounters on his journey – his sister, Jeannie; his aunt, Kay; a young woman, Ruth; and a Native woman, Alva – all possess resilience, toughness, and an assuredness of character, qualities that have historically been attributed to men through the archetype of the cowboy. Despite his believing the contrary, none of these features define Will, leaving him at odds with the people he meets and the circumstances that surround him, and life he now leads.