When researching your immigrant ancestor, it is important to remember the keeping of passenger lists in the U. S. was not required by law until after 1820. There are, however, some records available for this early period. The GenWeekly article, "Passenger Lists Back to the Home Country," by Karen Pittman provides direction in locating these records. In 1820 Congress passed legislation requiring ship's captains to submit a list of all passengers to the collector of customs at each port. For a period of time, these records became part of the Congressional record. When speaking of passenger lists in the U. S., we are most often talking about passenger lists at the port of arrival (immigration). But records were often kept at the port of departure (emigration), as well. The GenWeekly article, "The Scandinavian Emigration Experience," reviews such records for Scandinavian countries.
The U. S. National Archives and Records Administration (NARA) holds immigration records for various ports for the years 1820-1982, arranged by Port of Arrival. Many of these records have been digitized and are available online through various commercial websites. There are also many independent and often free websites that contain passenger lists from various places, foreign and domestic. As noted, passenger lists may signal both immigration and emigration. You can access a great many available records, free and fee-based, through a single Live Roots search, entering the keyword "immigration" (or emigration for passenger departures). The results may span several pages, so be sure to click on the "View more matching resources" at the bottom of the page to see more results. You can narrow your results by entering in the "immigration" keyword and your location of interest, e. g. Boston, New York, Philadelphia, etc. Excellent information, resources, and research strategies also available also in the following GenWeekly articles.
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