The Elmridge books are primarily informational -- a group of children talk with their governess, who instructs them about the natural world and, occasionally, other topics such as Bible stories (Sunday Evenings). The first two books appear to be part of the series but weren't publicized as such. Later volumes, like Dangerous Characters (about wild animals), were publicized as Elmridge books, even when the word "Elmridge" wasn't part of the title.
Series order for Little Pilgrim and Little Pilgrim Talks (below) is unknown.
Little Pilgrim Talks volumes appear to contain unrelated stories. WorldCat entries show 1884 copyrights, but cataloguer's note says the series was listed in the 1893 ASSU catalog. It's also listed in the Sept. 17, 1881, issue of Publishers' Weekly as a 14-volume series.