The earliest Christians believed in it, and even the ancient Jews believed in a “third place”—neither Heaven nor Hell—where sins would have to be expiated before one could enter Heaven (2 Maccabees 12:43). It’s worth noting that Jesus never corrected this belief, never told anyone that the old concept of a place between Gehenna and Heaven was in error.
[Some may object to the Maccabees reference, since Martin Luther rejected those books (mostly because of this doctrine, by the way), but it’s provided here for historical context. No serious Protestant scholar denies its authenticity or historical value, only whether it’s actually the inspired Word of God.]
Purgatory is so called because there, souls are purified of the temporal effects of sin, inordinate attachments to temporal things, and their will is united to God’s will. It’s from the Latin purgare, to cleanse—you know, purge (though the concept dates through Scripture, it was Dante Alighieri who gave it the name, in La Divina Commedia). We are all called to be saints (Matthew 5:48, “Be you therefore perfect, as also your heavenly Father is perfect”), but few of us indeed die without the stain of some sin, and without perfect holiness, we cannot see God in Heaven (Hebrews 12:14, “Follow peace with all men, and holiness: without which no man shall see God.”).
Scripture makes this last point abundantly clear in passages such as Revelation 21:27, “There shall not enter into it any thing defiled” and Matthew 5:26, “thou shalt not go out from thence till thou repay the last farthing.” So nothing impure may enter heaven. But are we not all impure? How then can we enter the Kingdom without being cleansed?
We have the answer in Scripture: In his letter to the Corinthians, St. Paul writes (1 Corinthians 3:15), “If any man’s work burn, he shall suffer loss; but he himself shall be saved, yet so as by fire.” And again, writing to St. Peter (1 Peter 1:7), “That the trial of your faith (much more precious than gold which is tried by the fire) may be found unto praise and glory and honour at the appearing of Jesus Christ.”
It may be helpful to understand this “third place” if we consider the notion of praying for the dead, which we see in 1 Peter 3:19, 1 Peter 4:6, and 2 Maccabees 12:43-45, among others. What would be the point of praying for souls in Heaven? They don’t need it. And it would be useless to pray for souls in Hell, because there’s no escape from Hell. We cannot help them. The only reason to pray for souls is if there is a “middle state” where atonement for sins can be made. If St. Paul and the early Christians prayed for the dead, so should we; but if we do, we must acknowledge that doing so presumes an intermediate state of purification.
We call it Purgatory.