In exchange, the Red Sox received a player to be named later or cash along with international amateur signing-bonus pool space.
The Rockies also received cash considerations.
Pillar posted his farewell to the Red Sox on social media, writing: "Thank you @redsox organization. First class from top to bottom. It was a dream to call Fenway home. Players and staff that I interacted with daily, I'll miss you and be cheering for you from afar. Excited to be heading back west and joining the @rockies organization. headed to the mile high city."
Pillar, 31, batted .274 with four homers and 13 RBIs in 30 games for the Red Sox. He played a bulk of this season in right field, a spot occupied in Colorado by Charlie Blackmon.
Pillar figures to spend time in center, with David Dahl currently on the injured list. In 12 career games at Coors Field, Pillar has a .326 batting average with one homer and seven RBIs.
"We're hoping that Kevin can come in and provide a spark to our offense and play an above-average center field in a park that demands it," Rockies manager Bud Black said. "He's an aggressive, hard-nosed player. He's a leader. I know it's used a lot, but he's a gamer."
Black said he sees Pillar hitting all over the batting order -- from leadoff to the No. 8 spot -- just as he did in Boston. More than anything, Black appreciates Pillar's grit.
"It's more about the player and the winning type of game he brings every day," Black said. "He plays hard. He'll dive. He'll crash into walls. He'll try to steal a base. He'll break up two. His style is his style. For me, from the other side watching him over the years, it's a winning type of player."
Pillar was originally selected by Toronto in the 32nd round of the 2011 draft. He is a career .261 hitter and has five seasons with double-digit steals, including 25 in 2015.
"We made a point to try to take bases. It's just another way to put pressure on your opponents," general manager Jeff Bridich said. "Mr. Pillar can fit right into that.
"I've thought of him as a gamer, a grinder, an energetic type of a guy that is going to find a way to do something really positive and will his way to help a team win."
It's the second consecutive day the Rockies orchestrated a trade as they remain in the postseason hunt. On Sunday, they added reliever Mychal Givens from the Baltimore Orioles for prospects and cash. Givens has allowed two runs over 13 innings this season for the Orioles. He has 19 strikeouts and two walks.
"Pretty stoked," Givens said of joining Colorado. "They're a really exciting team to watch."
The Rockies added Givens to the active roster and optioned left-handed pitcher James Pazos to their alternate training site. They also placed infielder Brendan Rodgers on the 10-day injured list with a strained right shoulder and recalled right-hander Antonio Santos.
The Associated Press contributed to this report.