In the begining : Kukai (空海)

Kukai, also known as Kōbō Daishi (弘法大師), is a buddhist monk and scholar born in 774 on the Island of Shikoku. He was destined to a brilliant carreer in public affairs, but he turned to Buddhism instead and chose an ascetic life, travelling around Shikoku. He received enlightment in a cave during that time. He travelled several years in China, where he received instructions for esoteric buddhism, and from that teachings he will create a new branch : Shingon. Back to Japan, he is allowed by the Emperor to base his school on Mount Koya, and he starts spreading his teaching, that we may sum up like this : Shingon is the deepest meaning and teaching of Mahayana. It is dedicated to assure peace from prayers, and to save all people by reducing suffering and bring happiness. The Ideal is to become Buddha In this life, with this body, which means to live in the truth. One must dedicate his life to heal those who suffer, spritualy and physicaly.
The legend tells that Emon Saburo, a rich merchant of Shikoku, started the idea of the pilgrimage by turning around the Island, looking for Kukai to repent from his sins. But it is several hundreds of years later that the pilgrimage will become popular.