New Sweden. The first permanent European settlers in Pennsylvania were the Swedes and Finns who, starting in 1638, settled between present-day Wilmington, Delaware and Philadelphia, and small settlements in West New Jersey. For more details see the New Sweden wiki article.
New Netherland. The Dutch built a trade center blockhouse "at the Schuylkill" (now Philadelphia) in 1633 (earlier than the Swedish) but abandoned it in about 1643. From 1648 to 1651 the Dutch built and garrisoned Fort Beversrede ("beaver road") in what is now Philadelphia. In order to intercept Minqua Indian fur traders coming down the Schuylkill River, and stifle competition, the Swedish built a blockhouse between the river and fort and only 12 feet in front of the palisade gates of Beversrede. When the Dutch built another fort in present-day New Castle, Delaware the Swedes captured it without a fight in 1654. But the Dutch returned in 1655 and took possession of all New Sweden. For more details see the New Netherland wiki article.
British Empire. In 1642 Englishmen from New Haven, Connecticut built a blockhouse at Province Island (now Philadelphia Airport) but were promptly driven out by the Dutch and Swedish. In 1664 as part of the Second Anglo-Dutch War the British forced New Netherland into submission. By 1670 the English, Irish, and Welsh predominated in the area. They settled mostly in Philadelphia and the eastern counties.
Germans began coming to Pennsylvania in large numbers at the end of the 1600s. Pennsylvania was the top destination for German immigrants arriving in Colonial North America. They settled first in the eastern counties and later migrated to western Pennsylvania, New Jersey, Maryland, and Virginia. Many Pennsylvania Germans also migrated later to North Carolina, Kentucky, Ohio, and Illinois.
Kuhns, Oscar. The German and Swiss Settlements of Colonial Pennsylvania: A Study of the So-Called Pennsylvania Dutch. Ann Arbor, Mich.: Gryphon Books, 1971. Digital version at FamilySearch Books Online - free.
Scots-Irish started coming in large numbers after 1718. They settled first in the western Chester County area (later Lancaster county) and moved west over the Susquehanna River valley and Cumberland Valley area and later pushed into the western Pennsylvania counties of Westmoreland, Fayette, Washington, Greene, and Allegheny. Many Scotch-Irish eventually moved into southern states such as Virginia, Maryland, the Carolinas, and Kentucky. French Huguenot and Swiss families mingled with the Germans. Some Huguenots from New York migrated to Pennsylvania and settled in Berks and Lancaster counties. Swiss Mennonites began to settle in Lancaster county about 1710.
Dunaway, Wayland F. The Scotch-Irish of Colonial Pennsylvania. Chapel Hill, N.C.: The University of North Carolina Press, 1944. Free digital version at PA's Past: Digital Bookshelf at Penn State. Includes chapters on their Ulster background in Ireland, immigration, places of settlement in Pennsylvania, military involvement, economic, social, religious, educational, and cultural contributions.
Irish Quakers came to Pennsylvania as early as the 17th Century. An outstanding historical study with brief biographies and names of extended family members remaining in Ireland, and which provides a summary of Irish Quaker emigration and migration to the state, is: Immigration of Irish Quakers to Pennsylvania, 1682-1750 .
Welsh Quakers also came to Pennsylvania as early as the 17th century. Many more came in the nineteenth-century to work in the coal industry. An excellent history identifying many of the original Welsh settlers is:
Glenn, Thomas Allen. Welsh Founders of Pennsylvania. Oxford: Fox, Jones and Company, 1911. Digital version of Vol. 1 at FamilySearch Books Online - free.
There are many online resources for finding Irish emigrant ancestry to the United States and Pennsylvania in particular. Visit a significant website containing several Irish immigration website links for Pennsylvania: http://www.genealogybranches.com/irishpassengerlists/#immigration.
It was estimated that 3000 to 4000 Irish immigrants arrived at the port of Philadelphia in the decades before and after the Revolution.
French settlers were minorities in Colonial Pennsylvania. Ship masters paid duties for importing African slaves into the colony.
Many people came to Pennsylvania and the other colonies as indentured servants. For an excellent discussion of "unfree labor," see Sharon V. Salinger, To Serve Well and Faithfully: Labor and Indentured Servants in Pennsylvania, 1682-1800 (New York, NY: Cambridge University Press, 1987; Family History Library book FHL book 974.8 E6ss. It includes the names of some individuals who were indentured servants. The sources Salinger used can provide examples of the kind of records to search to find out information about these individuals.
Various immigrant aid societies assisted poor Europeans (usually focusing on a single nationality) who wished to settle in Pennsylvania, including (with year organized and nationality):
The Society of Ancient Bretons (org. 1729 - Welsh), known as The Welsh Society from 1802 forward
The St. Andrew's Society of Philadelphia (1749 - Scots)
Hibernian Club of Philadelphia (1759 - Irish)
Die Deutsche Gesellschaft zu Philadelphia (1764 - Germans)
Friendly Sons of St. Patrick (1771 - Irish)
The Society of the Sons of St. George (1772 - English)
The Hibernian Society for the Relief of Emigrants from Ireland (1790 - Irish)
La Société Française de Bienfaisance de Philadelphie, pour conseiller et secourir les Français (1791 - French)
The German Lutheran Aid Society (1790 - German)
The Philadelphia Society for the Information and Assistance of Emigrants and Persons Emigrating from Foreign Countries (1793)
In the 1870s Pennsylvania attracted large numbers of immigrants from southern and eastern Europe. These included Slavs, Poles, Italians, Jews, Russians, and Greeks. During the 19th and especially the 20th centuries, blacks from the southern states also moved to Pennsylvania in large numbers.
For an account of some of these groups see:
Bodnar, John E. The Ethnic Experience in Pennsylvania. (Lewisburg, Pa.: Bucknell University Press, 1973).