Overview: It is accepted in American history that the Pilgrim Fathers were a group of religious separatists who founded the first permanent colony at Plymouth, Massachusetts, after sailing to the New World to avoid oppression. As tonight's programme reveals, not only were the Pilgrims not the first European immigrants to America, but their journey very nearly ended in disaster, and initial attempts to establish a colony were met with death from exposure, disease, and starvation. 3/6.