In Walter McClintocks book "The Old North Trail" he tells of a story told to him by the elder Brings Down The Sun about a trail that ran from the north of Canada all along to Mexico. The Old North Trail was well known amongst many tribes and was often fought over. A band of Blackfeet used The Old North Trail and traveled from present day Montana far to the south to the place of the dark skinned people with hair falling in their faces(modern day Mexico). The man, Elk Tounge, traveled south on the trail with his family and returned four years later having purchased a medicine pipe known as The Dancing Pipe.

You'll probably be interested in this post where I discuss the story of Monacht-Ape as recorded by the French historian Antoine-Simon Le Page du Pratz in the early 1700s. Here's the short version of the incident:

While inquiring about the origins of the Natchez and the other nations of Louisiana, du Pratz was directed to Monacht-ape, a Tunica elder who had similar interests. After losing his family decades earlier, Monacht-ape decided to go on a pilgrimage to his people's original homeland. He first explored northeastward, up the Ohio Valley and continuing on until he reached the Atlantic coast in the vicinity of modern day Maine. After returning home, he soon set out on a second expedition, this time to the northwest. He traveled along the Missouri and the "Fine River" (probably what we would call the Snake River and the lower Columbia River today) until he reached the Pacific Ocean. From there, he traveled north along the coast, until it started arcing to the west. At which point he heard from locals that the land ends to the west, though there were some islands out into the sea. Rather than begin an maritime voyage, he returned home again.

Incidentally, at the time du Pratz would have heard Monacht-ape's account, Europeans had not yet officially discovered the Bering Strait - though news of the Strait's discovery would have reached France by the time du Pratz actually published his history which complicates matters a bit. There's some argument that Monacht-ape is an invention by du Pratz rather than a real person, a way to put his own theories about the origins of Native Americans into the mouth of a Native person. Personally, I'm skeptical of this position, but it's worth mentioning that the debate does exist.