JULY 29, 2017. Spanish pilgrimage By José Antonio Zamora. In the small town of El Rocío, in Andalusia, Spain, an annual pilgrimage takes place on the second day of Pentecost. Hundreds of thousands of people from across Spain travel, often on horseback, to worship a small wooden statue of the Virgin Mary. As the tradition dates back to the 1700s, pilgrims usually wear traditional dress for the journey and celebration.