The main protagonist was a young woman whose father was either making her marry someone or go on a pilgrimage. The setting seemed to be England, in fall or winter. The werewolf accompanied her as she escaped on horseback from the group she was with. The werewolf was able to survive being in old churches and holy places, where they hid? At some point they, or perhaps just the werewolf, helped a sick or dying priest.
I believe there was more than one book in this series. The book was fairly thick. It was in the adult sci-fi/fantasy section in my library. I am fairly certain the author was female.
The protagonist's name may have been Claudia.