Pilgrim's Progressis an allegory, which means the people and places in the story are symbolic. In this case, there isn't a lot of mystery to the characters' names--whatever they're called is what they are. Start with the protagonist whose name is Christian, who is on a spiritual journey (thus the name) to Celestial City (obviously heaven). Along the way, Christian meets a variety of characters and goes to a variety of places.
Christian leaves from City of Destruction and asks his neighbor, Obstinate, to accompany him. Not surprisingly, he is stubborn and refuses to go. Later, Christian is in the Slough of Despond (which is a place of despair, as the name suggests) and gets help from--who else--Help. That's how the entire story goes. The names are obvious if you know what the words mean. Some of them are a bit archaic, so you may have to look them up; once you do, it'll make perfect sense to you, I'm sure.
I've included a link below to the enotes study guide, which has an excellent assortment of resources if you need more help.