Pilgrimage is as old as religion itself. It is encouraged in Abrahamic religions, but is a core activity in ancient religions like Hinduism, where there are pilgrimage sights dotted all over India (with some lying as far away as Afghanistan). These are like mini quests; you can do this mission where you visit the 11 Krishna sites, or this another mission where you have to reach these 15 sites, but they are all on mountains, and you have to walk 10k steps to reach there...

AFAIK I know it is a "core activity" in one Abrahamic religion (Islam)—more so than in any other major religion.

A lot of Christians I know have done some sort of pilgrimage. Quite a few Buddhists too (most of those I know if you count short and easy trips).

I agree it is very common, but I cannot see a correlation between how ancient a religion is and how important pilgrimage is within in it.