The Tanguts who established Western Xia (982–1227) were active and devoted Buddhist pilgrims. They visited the Buddhist cave complexes of Mogao and Yulin in the Greater Dunhuang area and left several hundred lines of wall inscriptions. The paper examines various types of the remaining Tangut pilgrimage inscriptions and formulates their common textual formula. The comparative study of the resemblant Chinese, Tangut, and Uyghur inscriptions reveals their structural and vocabulary similarities and suggests the existence of the multilingual “inscriptional discourse” in the greater Dunhuang area in the 10th–14th cc. Finally, the content analysis of the inscriptions illuminates the features of the Buddhist pilgrimage as a local social and religious phenomenon and provides a precious primary textual source for the study of Western Xia.