Fillan left the Isle of May for Pittenweem in Fife and converted the local populace to Christianity. The priory on May subsequently founded a priory there, which by 1318 had replaced the founding priory and which had been given to the canons regular of the cathedral priory in St. Andrews.
He is supposed to have lived in what is now called St Fillan's Cave, situated in Cove Wynd, Pittenweem, which is open to the public. The cave was rediscovered about 1900 when a horse ploughing in the Priory garden fell down a hole into it. The cave has flat rocks that are presumed to have been used as beds and a small spring of "holy water" at its rear. It was rededicated as a place of worship by the Bishop of St. Andrews in 1935. It has since been refurbished and opened to visitors as of October 2000, and is owned by the Bishop Low Trust. It is entrusted to St John's Scottish Episcopal Church in Pittenweem.