I came across the phrase "we are pilgrims, and strangers in the world" recently in something I was reading and made a note of it. I remembered reading it in David Copperfield, but I seem to have been mistaken about that. It must be a phrase with deep roots, though, because Google finds a ton of matches in writings about Christianity.
The oldest match I can find for "pilgrims and strangers in the/this world" is in The Pilgrim's Progress (by John Bunyan, London: 1678): "The men told them that they were Pilgrims and Strangers in the World...." (Sorry, I don't have enough internet points to post links to all the sources.)
I also found a pointer to Chapter IV of the General Constitutions of the Franciscan order, which is titled "Pilgrims and strangers in this world" (http://www.ofm.org/ofm/?page_id=485) and which contains the following sentence: "As pilgrims and strangers in this world, having given up personal property, the friars are to acquire neither house nor place nor any other things for themselves, in accordance with the Rule." As best as I can tell, this document was written in the 1950s, so it doesn't predate The Pilgrim's Progress, but the chapter title is followed by the following citation: "(1Pt 2,11; Rb 6,2)"
1 Peter 2:11 is rendered in the King James Bible as, "Dearly beloved, I beseech you as strangers and pilgrims, abstain from fleshly lusts, which war against the soul." I don't know what Rb 6,2 refers to.
The closest match in the Bible seems to be Hebrews 11:13: "These all died in faith, not having received the promises, but having seen them afar off, and were persuaded of them, and embraced them, and confessed that they were strangers and pilgrims on the earth." However, the phrase does not seem to come directly from the Bible since no English translation (http://biblehub.com/hebrews/11-13.htm) renders it as "strangers and pilgrims in the/this world." And if this is the source why would the General Constitutions chapter heading cite 1 Peter 2:11 instead of this verse?
So what is the specific source of this phrase that occurs in so many places from The Pilgrim's Progress to Franciscan rules to evangelical sermons?