On widipedia.com, I found this nugget of info on Epiphany in the Eastern Orthodox Church:
The observance had its origins in the Eastern Christian Churches, and was a general celebration of the Incarnation of Jesus Christ. It included the commemoration of: his birth; the visit of the Magi ("Wise Men", as Magi were Persian priests) to Bethlehem; all of Jesus' childhood events, up to and including his baptism in the Jordan by John the Baptist; and even the miracle at the Wedding of Cana in Galilee.It seems that baptism is big in the understanding of Epiphany. The photo above is one I took of people being baptized in the Jordan.
What connects Epiphany with pilgrimage is this: for the Church, Jesus baptism is truly his first step toward crucifixion; it is the first step of his earthly pilgrimage, God's pilgrimage, among us.