Pilgrim Lutheran School first opened in 1928, in temporary facilities, and operated continuously for 80 years until 2008 when the school closed due to declining enrollment. The current school building was constructed in 1932 and was also used for worship services until the Pilgrim Lutheran Church congregation built its church in 1949. The school building was expanded in 1957 and again in 1976 to provide additional classrooms, a gymnasium and locker rooms. When the Milwaukee Parental Choice Program was expanded in 2011 to allow any school to participate in the program, LUMIN and Pilgrim Lutheran Church joined forces to reopen the school so it could resume offering a Christian education to the community. The new school opened in August 2012, as a second campus of LUMIN's flagship school, Concordia University School, and is now known as Concordia University School - Pilgrim Campus. The school resumed using the name Pilgrim Lutheran School in 2015.
Pilgrim Lutheran School is accredited by AdvancEd, NLSA (National Lutheran Schools Accreditation) and WRISA (Wisconsin Religious and Independent School Accreditation) and a friend of PAVE, Schools That Can Milwaukee and Center for Urban Teaching.
Worship services are held weekly throughout the school year. The services consist of prayer, praise music, Scripture readings, and a Law and Gospel message appropriate for the theme of the day.
Pilgrim Lutheran School continues to develop ways to connect Christ to the classroom, educating the whole child, especially their faith walk.