Pillory was a chestnut horse bred and raced by the co-owner and president of Saratoga Race Course, Richard Thornton Wilson Jr. Pillory was sired by Wilson's Olambala, a multiple winner of important races including the Latonia Derby and Suburban Handicap, and who sired several top runners including the 1916 American Champion Two-Year-Old Colt Campfire, and top handicap winner Sunfire.
Pillory's damsire was Disguise, who raced for James R. Keene in England and was a son of Domino.
The handlers of New York–based Pillory chose not to send the colt on the long railroad trip to Louisville for the Derby.
Instead, they entered the colt in the then 1+1⁄8-mile (1.8 km) Preakness Stakes at Pimlico Race Course in Baltimore, Maryland.
In the Preakness, Pillory took the lead on the turn into the stretch and prevailed by a head from Hea after what the press described as a "furious" drive to the finish.