Is pilgrims a proper noun

No, the Word pilgrim is a common noun; a general Word for anyone who travels a long distance or anyone who travels to a sacred place for religious reasons.

A proper noun is the name of a person, place, thing, or a title; for example:

• Pilgrims Society of London and New York
• Pilgrims Knob, VA (population 479)
• Pilgrim's Cafe, Appleton, WI
• 'The Pilgrim's Progress' by John Bunyan