The Pilgrims themselves wrote relatively few things, but the things they did write are very significant. Below are links to the full texts of most all the books and journals ever written by the Pilgrims. Not yet included are William Bradford's First Dialogue concerning Church Government, and Third Dialogue concerning Church Government, and Edward Winslow's Glorious Progress of the Gospel Among the Indians of New England (London, 1649).
Mourt's Relation: A Journal of the Pilgrims at Plymouth. (London, 1622). This journal, written by several Pilgrims--namely William Bradford and Edward Winslow--records events at Plymouth from the Mayflower's arrival in November 1620 through the First Thanksgiving in October 1621, and everything inbetween.
The Sin and Danger of Self-Love. This sermon was written and given by Robert Cushman to the Plymouth congregation in December 1621. Robert Cushman was a member of the Pilgrims church in Leyden, Holland, and came on (and returned in) the ship Fortune.
Good Newes from New England. (London, 1624). This book, authored by Edward Winslow, continues the journal in Mourt's Relation, covering the years 1622 and 1623 at Plymouth.
Of Plymouth Plantation. (Written 1630-1654, first published 1854). This is Governor William Bradford's history of Plymouth, the most comprehensive primary source available on early Plymouth.
Hypocricie Unmasked. (London, 1646). This is a religious treatise written by Edward Winslow.
New England's Salamander Discovered. (London, 1647). This is another religious treatise written by Edward Winslow.