Pilot waves aren't made of anything, they are a description of configuration space. Think of it like this: to describe particle motion, take the ordinary/classical equations of motion, and now add another term to account for quantum behaviour. The force exerted by this term at time t is a function of the position of every other particle in the universe at time t, no matter the distance.

That's pilot wave theory, where this term is sometimes called the "quantum potential" and is governed by Schroedinger's equation. As you can see, this extra term goes to zero when quantum effects become negligible and we recover classical mechanics straight away. The difficulty is the obvious nonlocality and what that means for special relativity.