Bishop Leodvin wrote that Stephen collected relics of a number of saints in "Cesaries" during his campaign in the Balkans, including Saint George and Saint Nicholas. He donated them to his new triple-naved basilica dedicated to the Holy Virgin in Székesfehérvár, where he also set up a cathedral chapter and his new capital. His decision was influenced by the opening, in 1018 or 1019, of a new pilgrimage route that bypassed his old capital, Esztergom.

The new route connected Western Europe and the Holy Land through Hungary. Stephen often met the pilgrims, contributing to the spread of his fame throughout Europe. Abbot Odilo of Cluny, for example, wrote in a letter to Stephen that "those who have returned from the shrine of our Lord" testify to the king's passion "towards the honour of our divine religion". Stephen also established four hostels for pilgrims in Constantinople, Jerusalem, Ravenna and Rome.

In addition to pilgrims, merchants often used the safe route across Hungary when travelling between Constantinople and Western Europe. Stephen's legends refer to 60 wealthy Pechenegs who travelled to Hungary, but were attacked by Hungarian border guards. The king sentenced his soldiers to death in order to demonstrate his determination to preserve internal peace.