Dorothy Richardson's Pilgrimage is often neglected in current studies that emphasize the role of colonialism and empire in experimental modernist novels. Following the work of Simon Gikandi, Bruce Robbins, and Melba Cuddy-Keane, this article argues that cosmopolitan sites are built upon an intimate connection between Western empires and the colonies, whose contributions make possible the development and the growth of the imperial metropole. Richardson's text demonstrates the role of colonial objects and cultures as the "local costume" of the modern cosmopolitan. The early volumes of Pilgrimage apply the model of the British "colonial" looking for financial opportunities to the modernist seeking intellectual pursuits and thereby create a cosmopolitan identity that can deploy the cultural capital of both colony and empire. Just as colonial exports provide a source of wealth for the business classes, colonial narratives and images serve a similar purpose for experimental modernist fiction.