First, the Pilgrims moved to Holland

That's right, in 1607and 1608, the religious group moved to Amsterdam and in 1609 to the city of Leiden, both situated in the more religiously tolerant Netherlands. But they didn't stay long.
Why not? Because...

• Their children were speaking Dutch and had become attached to the Dutch way of life, which worried the Pilgrims;
• They were getting rich and wanted to invest in a new land.