The Pilgrim Wesleyan Church of Zambia had its origin in the missionary outreach of the Pilgrim Holiness Church which started in 1897 as a result of a revival of scriptural holiness in Cincinnati, Ohio in the United States of America.
It was established as a missionary extension of the Pilgrim Holiness Church in South Africa which had been working since the 1900s. The first work of the Pilgrim Holiness Church in Zambia was started in 1930 by Rev. and Mrs. Ray Miller in Choma District of the Southern Province of Zambia. The church has since spread from this initial work to all the parts of Zambia and the neighboring countries particularly Congo DR, Malawi and Uganda.
In 1968 the Pilgrim Holiness Church merged with the Wesleyan Methodist Church of America, a result of the revival brought about by the work of the Wesley brothers in England in the 1700s to form the Wesleyan Church which established its headquarters in Indiana in the United States of America. It was as a result of this meager that the outreach work of the Pilgrim Holiness Church in Zambia became part of the Wesleyan Church of America as a mission of the Wesleyan Church in Zambia.

The Pilgrim Holiness Church in Zambia however adopted the name Pilgrim Wesleyan Church in Zambia in order to identify both with their origins in the Pilgrim Holiness Church and their merger with the Wesleyan Methodist Church of America. Today it is known as the Pilgrim Wesleyan Church of Zambia and is a part of the Wesleyan World Fellowship and operating as a National Conference under the global partnership of the North American General Conference of the Wesleyan Church whose headquarters is in Indianapolis, Indiana in the United States of America.