In the months and years immediately following its establishment, the Pilgrims Society was involved with some of the most pressing questions of contemporary Anglo-American diplomacy. While the British and German naval blockades of Venezuela in 1902 caused a short spell of acrimony, it was the relationship between the US and the British dominions of Canada and Newfoundland that came to dominate much of the diplomacy of the 1900s. With the North American aspect of the official Anglo-American relationship proving so important in these years – in particular Canadian–US relations – the Pilgrims Society focused much of its unofficial and semi-official activities on attempts to foster greater understanding between Britain, Canada, and the US. This speaks to the development of what John Bartlet Brebner termed the ‘North Atlantic Triangle’, namely the concept that Canadian international relations have been framed by the country's links with Britain and the US. Brebner traces the beginnings of such a triangle to the 1871 Treaty of Washington – when Britain and the US came to an agreement following disputes relating to the American Civil War, for example the Alabama affair, and discussed other issues, including the US–Canadian border and the North Atlantic fisheries – and argues that the outcome of the Alaskan boundary dispute of 1903 led to a further differentiation of Canada as a third party in Anglo- American relations. Canada faced the challenge of ensuring that it had Britain's support against its powerful neighbour to the south, while simultaneously trying to avoid Britain sacrificing its interests on the altar of Anglo-American friendship.

With matters such as the Alaskan boundary dispute and the North Atlantic fisheries ensuring that the strategically important rapprochement between Britain and the US remained incomplete, the Pilgrims worked to ensure that relations between all of the actors were as cordial as possible and that they were rooted in themes of Anglo-American harmony and similarity. The Society sought to do this both within its remit as a banqueting club and by cultivating links with those in officialdom.