Games like The Pilgrimage
Games like The Pilgrimage include Not For Broadcast, Roadwarden, Kindergarten 3, The Invincible, and Fallout 4. We matched them by the tags players give The Pilgrimage on Steam (Adventure, Interactive Fiction, Post-apocalyptic, Free to Play, and Sci-fi): closest matches first, and among equally close ones the better-known games.

Not For Broadcast
Shared: Adventure · Dark Comedy · Interactive Fiction

Roadwarden
Shared: Adventure · Interactive Fiction · Text-Based

Kindergarten 3
Shared: Interactive Fiction · Dark Comedy · Adventure

The Invincible
Shared: Adventure · Sci-fi · Dialogue Heavy

Fallout 4
Shared: Post-apocalyptic · Adventure · Sci-fi

The Life and Suffering of Sir Brante
Shared: Interactive Fiction · Adventure · Text-Based

Outcore: Desktop Adventure
Shared: Adventure · Free to Play · Comedy

The Complex
Shared: Adventure · Interactive Fiction · Sci-fi

Tales from the Borderlands
Shared: Adventure · Comedy · Choices Matter

Overboard!
Shared: Adventure · Interactive Fiction · Dark Comedy

Primordia
Shared: Adventure · Post-apocalyptic · Sci-fi

Heaven's Vault
Shared: Adventure · Sci-fi · Interactive Fiction

Firewatch
Shared: Adventure · Mystery · Story Rich

Fallout: New Vegas
Shared: Post-apocalyptic · Adventure · Sci-fi

Outer Wilds
Shared: Adventure · Mystery · Sci-fi

Don't Escape: 4 Days to Survive
Shared: Adventure · Post-apocalyptic · Sci-fi

There Is No Game: Wrong Dimension
Shared: Adventure · Comedy · Indie

Suzerain
Shared: Interactive Fiction · Text-Based · Adventure

AI: The Somnium Files
Shared: Adventure · Sci-fi · Mystery

Pentiment
Shared: Adventure · Interactive Fiction · Mystery

Murders on the Yangtze River
Shared: Adventure · Mystery · Indie

To the Moon
Shared: Adventure · Interactive Fiction · Indie

Lay a Beauty to Rest: The Darkness Peach Blossom Spring
Shared: Adventure · Interactive Fiction · Mystery