Pilgrim was living in England when his job as a computer programmer necessitated a move to the United States. His first foray into racing stateside was with SCCA Autocross. In 1984, Pilgrim borrowed $3,000 to buy a Renault Alliance and began competing with it. He eventually moved up to professional racing in 1986 running the Firebird series. In the late 1980s and early 1990s, Pilgrim ran in the Corvette Challenge series.

Pilgrim made appearances in the 24 Hours of Le Mans in the late 1990s, running for New Hardware Racing, Roock Racing and Corvette Racing. He joined the Chevrolet Corvette factory team in 1999. In 2001 he was selected as teammate for Dale Earnhardt, Jr., Dale Earnhardt Sr. and Kelly Collins in the 24 Hours of Daytona and the team finished second in class. After the 24 Hours of Daytona, Dale Earnhardt Sr. promised to someday put Pilgrim in a NASCAR stock-car, a promise he was unable to fulfill due to his death a few weeks later during the 2001 Daytona 500.

From 2004 to 2008, Pilgrim drove for Cadillac in the SPEED World Challenge, winning a championship in 2005. He moved to K-Pax Racing in 2009 and 2010 before returning to Cadillac for another stint that lasted from 2011 to 2014. In 2015, he stepped away from the PWC to run various endurance races. In 2016, Pilgrim joined Black Swan Racing for a four-race endurance schedule, including the 24 Hours of Daytona. The move came after his FIA rating was changed from gold to silver. Pilgrim returned to the World Challenge in 2018 with Blackdog Speed Shop.

In 2007, Pilgrim drove two road course races in the NASCAR Busch Series for JR Motorsports. Pilgrim made his NASCAR Sprint Cup Series debut in 2011 at Infineon Raceway driving the No. 46 for Whitney Motorsports, where he finished 26th.