For every bird a nest,
Pilgrim be found
Inverted syntax—she means 'Why is the pilgrim wren found searching?' The biblical word 'pilgrim' elevates the wren's homelessness into spiritual seeking.
Ah, aristocracy!
The exclamation marks this as ironic—the wren's ambition for a high nest becomes social climbing. Dickinson frequently mocked New England class consciousness.
not ashamed
Shame requires an audience. The lark builds on the ground without caring what others think—the opposite of the status-conscious wren.
Dancing around the sun
The lark's ground nest doesn't stop her from soaring. The wren seeks height in architecture; the lark finds it in flight.
Does so rejoice?
Rhetorical question with an obvious answer—the humble lark rejoices most. The wren is still searching while the lark is dancing.