  We find necessary and sufficient conditions for a finite $K$-bi-invariant
measure on a compact Gelfand pair $(G, K)$ to have a square-integrable density.
For convolution semigroups, this is equivalent to having a continuous density
in positive time. When $(G,K)$ is a compact Riemannian symmetric pair, we study
the induced transition density for $G$-invariant Feller processes on the
symmetric space $X = G/K$. These are obtained as projections of
$K$-bi-invariant L\'{e}vy processes on $G$, whose laws form a convolution
semigroup. We obtain a Fourier series expansion for the density, in terms of
spherical functions, where the spectrum is described by Gangolli's
L\'evy-Khintchine formula. The density of returns to any given point on $X$ is
given by the trace of the transition semigroup, and for subordinated Brownian
motion, we can calculate the short time asymptotics of this quantity using
recent work of Ba\~nuelos and Baudoin. In the case of the sphere, there is an
interesting connection with the Funk-Hecke theorem.
