He married 1st Leila Caldwell in 1909. They had two children.
He married 2nd Elsie Simonson. They did not have any children.
Burial: Lincoln Memorial Park, Portland, Multnomah County, Oregon, USA, Plot: Mausoleum - Azalea
Sources
"United States Census, 1900," database with images, FamilySearch: 20 January 2015, James A Pilgrim in household of George Pilgrim, Homer & West Point Townships Amoret & Amsterdam towns, Bates, Missouri, United States; citing sheet 3B, family 59, NARA microfilm publication T623 (Washington, D.C.: National Archives and Records Administration, n.d.); FHL microfilm 1,240,839.
"United States World War I Draft Registration Cards, 1917-1918," database with images, FamilySearch: 12 December 2014, James Arthur Pilgrim, 1917-1918; citing Pima County, Arizona, United States, NARA microfilm publication M1509 (Washington D.C.: National Archives and Records Administration, n.d.); FHL microfilm 1,522,648.
"United States Census, 1920," database with images, FamilySearch: 14 December 2015), James Pilgrim, Portland, Multnomah, Oregon, United States; citing sheet 10A, NARA microfilm publication T625 (Washington D.C.: National Archives and Records Administration, n.d.); FHL microfilm 1,821,499.
"United States Census, 1940," database with images, FamilySearch: accessed 24 October 2016), James A Pilgrim, Tract 9, Portland, Portland City Election Precinct 113, Multnomah, Oregon, United States; citing enumeration district (ED) 37-164, sheet 1B, family 25, Sixteenth Census of the United States, 1940, NARA digital publication T627. Records of the Bureau of the Census, 1790 - 2007, RG 29. Washington, D.C.: National Archives and Records Administration, 2012, roll 3387.
"United States World War II Draft Registration Cards, 1942," database with images, FamilySearch: 9 April 2016, James Arthur Pilgrim, 1942; citing NARA microfilm publication M1936, M1937, M1939, M1951, M1962, M1964, M1986, M2090, and M2097 (Washington D.C.: National Archives and Records Administration, n.d.).