Written in a series of internal monologues and reflections, the book is told from the perspective of an unnamed narrator who lives next to Tinker Creek, in the Blue Ridge Mountains near Roanoke, Virginia. Over the course of a year, the narrator observes and reflects upon the changing of the seasons as well as the flora and fauna near her home. Pilgrim is thematically divided into four sections—one for each season—consisting of separate, named chapters: "Heaven and Earth in Jest", "Seeing", "Winter", "The Fixed", "The Knot", "The Present", "Spring", "Intricacy", "Flood", "Fecundity", "Stalking", "Nightwatch", "The Horns of the Altar", "Northing", and "The Waters of Separation".
The first chapter, "Heaven and Earth in Jest", serves as an introduction to the book. The narrator describes the location as well as her connection to it:
I live by a creek, Tinker Creek, in a valley in Virginia's Blue Ridge. An anchorite's hermitage is called an anchor-hold; some anchor-holds were simple sheds clamped to the side of a church like a barnacle or a rock. I think of this house clamped to the side of Tinker Creek as an anchor-hold. It holds me at anchor to the rock bottom of the creek itself and keeps me steadied in the current, as a sea anchor does, facing the stream of light pouring down. It's a good place to live; there's a lot to think about.
In the afterword of the 1999 Harper Perennial Modern Classics edition, Dillard states that the book's other, two-part structure mirrors the two routes to God according to Neoplatonic Christianity: the via positiva and the via negativa. The first half of the book, the via positiva, beginning with the second chapter, "accumulates the world's goodness and God's." The second half, the via negativa, ends with the chapter "Northing" which Dillard notes is the counterpart of the second chapter, "Seeing". The first and last chapters of the book serve as the introduction and conclusion, respectively. The narrative is composed of vignettes detailing the narrator's wanderings around the creek. In "The Present" the narrator encounters a puppy at a gas station off the highway, and pats its belly while contemplating the view of the nearby mountain range; the reflective act of "petting the puppy" is referred to in several other chapters. In "Stalking", the narrator pursues a group of muskrats in the creek during summer. One of the most famous passages comes from the beginning of the book, when the narrator witnesses a frog being drained and devoured by a water beetle.