The Pelóri were the mountain-fence of Aman. The highest peak of the Pelóri was Taniquetil, on which were the mansions of Manwë and Varda.
In other stories
The Pelóri - as the Mountains of Elvenholme - are referenced in Tolkien's Roverandom. In the story, written down in 1927, the great whale Uin takes the enchanted dog Roverandom (formerly known as Rover) on adventures through the seas: Uin takes Roverandom through the Shadowy Seas to the Bay of Fairyland beyond the Magic Isles where Rover saw the Mountains of Elvenhome and the light of Faery. Roverandom thought he could see the white glint of a city of Elves on a green hill far away in the distance.
Maps
The Pelóri were raised by the Valar to defend against the evils of Melkor after he destroyed their original dwelling-place at Almaren.
They were the tallest of all mountains, and the tallest of the Pelóri was Taniquetil, on which stood the high mansions of Manwë and Varda. Behind them to the West, the Light of the Trees shone, but the narrow shores beneath their eastern feet were in darkness. The second highest of the Pelóri was Hyarmentir above Avathar.
When the Eldar came to Aman, the Valar cut a rift in the Mountains, the Calacirya, to let the Light shine through them. In that pass, the Vanyar and the Noldor built the city of Tirion, and the Pass of Light looked out onto the Bay of Eldamar and lit the isle of Tol Eressëa, where the Teleri dwelt in those ancient days.
During the Nurtalë Valinóreva, the Pelóri were rised up higher.
According to a prophecy, the Mountains of Valinor shall be leveled after the Last Battle, allowing the light of the Two rekindled Trees reach all the new world.