A pilgrim is a traveler on a spiritual journey. In the first line of this ode, Wordsworth's speaker addresses the skylark as follows:
Ethereal minstrel! pilgrim of the sky!
An ethereal minstrel is a delicate singer—something ethereal is insubstantial and seems to be made of air (spirit) rather than earth. A pilgrim is also spiritual. By calling the skylark a pilgrim of the sky, Wordsworth's speaker is emphasizing that this bird is on a spiritual journey in the skies. He is addressing the bird as a spiritual symbol, a manifestation of God's presence in the natural world. Wordsworth continues in the second line by asking the skylark if it flies because it hates and rejects all the troubles on earth down below:
Dost thou despise the earth where cares abound?
The speaker goes on to say that the skylark does land on earth when it wishes to. It may be oriented toward the heavens and may "soar" seeking the heavens, but it is also tied to the worldly. The speaker praises it for being attuned to both "Heaven and Home."