There's a fair amount of information at the Traditional Ballad Index:

I Am a Pilgrim

DESCRIPTION: "I am a pilgrim and a stranger Traveling through this wearisome land, I have a home in yonder city, And it's not made, not made by hand." The singer's family has gone before; the singer hopes to be made whole
AUTHOR: unknown
EARLIEST DATE: 1917 (recording, Imperial Quartet)
KEYWORDS: religious nonballad
FOUND IN:
REFERENCES (2 citations):
Silber-FSWB, p. 353, "I Am A Pilgrim" (1 text)
DT, IAMPLGRM*
RECORDINGS:
Imperial Quartet, "I'm a Pilgrim, I'm a Stranger" (Victor 18199, 1917)
Silver Leaf Quartet, "I Am A Pilgrim" (OKeh 8594/ARC 6-12-63/Vocalion 04395, 1928)
CROSS-REFERENCES:
cf. "Tossed and Driven (The Poor Pilgrim)"
Notes: The Digital Tradition lists this as by Merle Travis. The Folksinger's Wordbook doesn't list an author. I haven't a clue -- but there are a lot of traditional lines in here. - RBW
I think the 1917 recording effectively washes out the claim of Merle Travis as sole author, although he certainly put the song into the form in which it's most commonly sung today. Sam Hinton learned a version in his childhood which is probably closer to the 1917 version than to Travis's. - PJS
File: FSWB353B

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The Ballad Index Copyright 2009 by Robert B. Waltz and David G. Engle.