Pilgrim was built as a private, steel-hulled sailing yacht of the same name in 1893 by the Pusey and Jones Shipbuilding Company at Wilmington, Delaware, for a racing syndicate in Boston, Massachusetts, which intended to use her in competition for America's Cup; she had of sail. During a series of races off Sandy Hook, New Jersey, against three other yachts in September 1893, she proved to be fast but too poor at minding her helm to race competitively, and another yacht was selected to represent the United States in defense of America's Cup. In 1894, the syndicate sold her to Lamont G. Burnham, Esq., of Boston, who had her converted to steam propulsion; she served as his private yacht.