Do you mean The Witch? It is set in the 1630s. In English then, subject-verb inversion was grammatical with any verb, not just with auxiliary verbs and modal verbs, as today.
By contrast, in modern English, subject-verb inversion is possible only with auxiliary verbs and modal verbs, not with lexical verbs such as "went". The modern English way to ask the question is "What did we go out into this wilderness to find?". (Yes, you might come across questions with subject-verb inversion, when the speaker is deliberately adopting old-fashioned usage, or is quoting an idiom which arose when this inversion was still grammatical, but that's not what this thread is about.)
(Not sure why the question is tagged [british-english], though. The way this usage differs from modern English is historical, not regional.)