I would look at University papers at the nearest Uni to possible sites of pilgrimage. The 'possible/fabled' Camino de las Estrellas is said to pass thru Santiago, Toulouse (ND de Dalbade) Orleans, Chartres, Paris, Amiens & Rosslyn Chapel near Edinburgh. Those Unis are likely to have papers squirrelled away. Unfortunately most organised religions have times when they have destroyed the evidence/icons/writings of other belief systems (this continues in the present day!) So it is hard to find primary evidence. I doubt there are many writings by Cathars for instance. It seems the idea that there were initiatory pilgrimages in pre-Christian times has to be gleaned from rather thin sources. There is a Sufi poem that describes such called The Colloquy of the Birds. I have read many references to different 'Gospels', Dead Sea Scrolls and Nag Hammadi sources, but do not have the time/resources to track down the originals.
It is a subject that much interests me - but as I cannot spend my entire life reading (a few hours a day is all I get away with!) I have to just believe what rings true in my heart. I also am quite happy to have my own beliefs and do not want/expect others to join in ( except my husband, who gets dragged along too) So we did undertake the Camino de las Estrellas, starting at Sintra and ending at Rosslyn where we left one of our scallop shells on the Lady Altar as pilgrims have done for centuries...
Good luck in your research, please keep us posted on anything you turn up.