Pilgrim

“Pilgrim” was a term used from at least the 1860s to refer to a new person to the West—a “greenhorn” or “tenderfoot.”  It’s said that the “pilgrim” term began with the Mormons of the mid-1840s (“Pilgrims of the Prairie”), but the Oxford English Dictionary does have a Texas use of “pilgrim” from 1841.
 
 
(Oxford English Dictionary)
pilgrim, n.
N. Amer. regional (chiefly west.) and colloq. (freq. depreciative). A recent immigrant, a tenderfoot; (of cattle) a newly imported or unseasoned animal. Now chiefly in weakened sense: a newcomer, a stranger.
1841 W. L. MACCALLA Adventures in Texas 46 After such an address from a citizen of that calumniated country Texas to a shattered old pilgrim, I took the liberty of withdrawing to another apartment. 1867 J. F. MELINE Two Thousand Miles on Horseback 22 The term Pilgrims for emigrants first came into use at the period of the heavy Mormon travelthe Mormons styling themselves ‘Pilgrims to the promised land of Utah’. 1888 Cent. Mag. Feb. 509/1 Those herds consisting of pilgrims,..animals driven up on to the range from the South, and therefore in poor condition.
   
(Dictionary of American Regional English)
pilgrim n
One who has come from elsewhere, spec:
 
a An emigrant, migrant, or visitor; a greenhorn, tenderfoot. esp West
1867 (1868) Meline 2000 Miles [Footnote:] The term Pilgrims for emigrants first came into use at the period of the heavy Mormon travel—the Mormons styling themselves “Pilgrims to the promised land of Utah.” The word has been retained on the Plains, and applied indiscriminately to all emigrants. 1877 Wright Big Bonanza 556 NV, Newcomers—known as “pilgrims” or “greenhorns”—are much more likely to do real work when on a prospecting trip than any of the old miners.
   
b also attrib: A cwow recently imported to a range.
1884 Prairie Farmer 17 May 308/3 NW, The losses were among old cattle in poor condition, the young stock sent to the ranches last fall—known as “pilgrims” on the ranges—and untimely calves.
 
Making of America
August 1866, Atlantic Monthly, “A Year in Montana” by Edward B. Nealley, pg. 246:
And miners illustrate their conversation by the various terms used in mining. I have always noticed how clearly these terms conveyed the idea sought. Awkwardness in comprehending this dialect easily reveals that the hearer bears the disgrace of being a “pilgrim,” or a “tender-foot,” as they style the new emigrant. To master it is an object of prime necessity to him who would win the miner’s respect. 
   
19 June 1873, Indiana Democrat, (Pennsylvania, IN), pg. 4, col. 4:
Among our own hunters was a trapper named Shep Medary—a lively, roystering mountaineer, who liked nothing better than to get a joke upon any unfortunate “pilgrim” or “tender foot” who was verdant enough to confide in his stories of mountain life.
(...)
—“The Ascent of Mountain Hayden,” by N. P. Langford, Scribner’s for June.