The five stories in the Little Pilgrim series take place in the Afterlife. The series is based on the Christian religion, but has a universal appeal in its view of heaven and the lower worlds of the Afterlife.
The first story was inspired by the death of Margaret Oliphant's close friend and neighbour Eleanor Clifford, known to Mrs Oliphant's children as Aunt Nelly. In several stories the little Pilgrim (Nelly) sees or encounters people she knew on Earth; and thus Mrs Oliphant is sometimes describing real people, including herself.
Shortly after the first two stories were published in MacMillan's Magazine, they were published together in the book A Little Pilgrim in the Unseen.
The remaining three stories were published in different magazines, and years later were collected in the book The Land of Darkness. However the book presents the stories out of order. It is recommended to read them in the chronological order in which they were originally published, as shown below. (The stories are also out of order in the American edition, entitled The Little Pilgrim: Further Experiences.)
The little Pilgrim does not appear in the fourth story, The Land of Darkness, which is a first person account of a soul's torturous experiences in a purgatory or hell. She returns in the fifth story, On the Dark Mountains, in which she aids souls from the Land of Darkness who are struggling to reach God.