The Cathedral-Basilica of Our Lady of the Pillar (Nostra Senora del Pilar) in Zaragoza, Spain, is the oldest Marian shrine in Europe, built well before the Muslim occupation of Zaragoza in 714.
According to tradition, on January 2nd, of the year 40 A.D., the Virgin appeared in Zaragoza to comfort the apostle Saint James and the seven first Iberian Christians, who were struggling to implant the faith in Spain. At that time, Mary had not yet ascended to Heaven and was still living in Jerusalem with the Apostle John. That day, James was planning to announce his upcoming return to Palestine. The night sky suddenly lit up and a multitude of angels appeared to the group of Christians, singing and carrying the Virgin Mary on a pillar which they set on the ground beside the apostle.
Mary then addressed him: "My son, this place is now marked and set aside to honor me. Here, thanks to you, and in memory of me, a church must be built. Watch over this pillar where I am standing, because it is my Son, your Master, who sent it from Heaven by having it carried by the angels... In this place, by my prayers and my intercession, the power of the Most High will accomplish admirable wonders for those who call upon me for help."
Source: Dictionnaire encyclopédique de Marie by P.-R. Ambrogi and D. Le Tourneau