If you do NOT have the Way of Life dlc simply play as any christian character, open your intrigue menu (button up at the top that looks like a dagger and envelope) and pick "Go on pilgrimage" from list of decisions. I don't remember if it unlocks immediately or at the end of the event chain but you will automatically get it the achievement.
If you DO have Way of Life you will need to choose the Theology focus first to be able to go on a pilgrimage. Otherwise, it is exactly as above.